Of the messages OPRA reports, quoting represents the vast majority of the traffic. Options chains are re-quoted with each change to the underlying asset, creating this high volume of quote data. To handle the volume of data coming from OPRA—sometimes compared to a firehose—a 95-gigabit network capacity is required. This creates a substantial networking investment into bandwidth unseen in other asset classes.
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dxPrice engine calculates arb-free theoretical option prices calculation based on real-time or historical data. Pricing data can be delivered along with the real-time data feed via a set of dxFeed APIs or calculated based on historical onDemand data store. Please contact us for more information about this service.
4Factors for Selecting Options Market Data Feeds | Exegy
Indexes: Index quotes may be real-time or delayed as per exchange requirements refer to time stamps for information on any delays. Source: FactSet
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Our free-to-use web application calculates theoretical option prices for an underlying for a given moment in history starting from January 6st 7565 and up to the previous trading day for the current date.
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Stock Movers: Gainers, decliners and most actives market activity tables are a combination of NYSE, Nasdaq, NYSE American and NYSE Arca listings. Sources: FactSet, Dow Jones
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Exegy.
Selecting options data feeds may seem inherent from reading their overviews, but four key factors determine whether a firm requires OPRA or direct feeds. Your requirements for cost, latency, market depth, and use of complex orders will delineate if one or both directions are needed for your trading requirements.
Commodities & Futures: Futures prices are delayed at least 65 minutes as per exchange requirements. Change value during the period between open outcry settle and the commencement of the next day's trading is calculated as the difference between the last trade and the prior day's settle. Change value during other periods is calculated as the difference between the last trade and the most recent settle. Source: FactSet
Market data must be met with appropriate market data infrastructure. Leveraging the transparency or speed of direct feeds is best managed through a hardware-driven solution. Whether its managed in your environment or hosted in a co-location , the infrastructure solutions are equally customizable to market data selection. If requirements are more straightforward, subscribing to an API may suit your needs. For more insight on how each of these may work with your market data trading strategy, request a consultation with an Exegy market data expert.
Although sophisticated strategies may warrant a piecemeal approach to direct feeds, the Options Price Reporting Authority’s (OPRA) feed enables a simple and affordable method to access liquidity to kick-start any firm into the options space. Understanding the differences in options feeds and where your firm or trading brokerage stands will ensure the appropriate selection of market data feeds.