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ICE iMpact Multicast Price Feed Handler The ICE

OnixS directConnect: ICE iMpact Multicast Price Feed Handler solutions are .NET, C++ and Java libraries that provide ultra-low latency access to ICE iMpact Multicast Price Feed via multicast UDP and TCP/IP interfaces.

Key Features:

  • ICE pre-calibrated and pre-certified.
  • Low latency, high throughput.
  • Thread processing affinity feature for performance tuning.
  • Support for OS kernel bypass network stacks - SolarFlare OpenOnload®.
  • High-level and easy-to-use API that enable quick integration of ICE market data without deep involvement in the specific protocols.
  • Maintaining books and states for subscribed markets and products.
  • Incremental Book Management.
  • Automatic detection and recovery from failure scenarios.
  • Flexible per-security filtering.
  • Highly configurable logging.
  • Getting Started, Benchmark and Log Replay samples – designed to get up and running rapidly.
  • Easy integration with high performance OnixS FIX Engine for order entry.
  • Light hardware and deployment requirements.

OnixS ICE iMpact Multicast Price Market Data Feed Handler

Supported message types

Common messages

  • Market Snapshot Message
  • Trade Message
  • Investigated Trade Message
  • Cancelled Trade Message
  • Market Statistics Message
  • Market State Change Message
  • System Text Message
  • Open Interest Message
  • Open Price Message
  • Settlement Price Message
  • Marker/Index Prices
  • End of Day Market Summary Message
  • Market Event Message
  • Pre-Open Price Indicator Message
  • Strip Info Message
  • Interval Price Limit Notification Message

Messages for Full Order Depth Only (Futures/OTC)

  • Market Snapshot Order Message
  • Add/Modify Order Message
  • Delete Order Message
  • Trade Message
  • Message Bundle Marker

Messages for Price Level Only

  • Market Snapshot Price Level Message
  • Add Price Level Message
  • Change Price Level Message
  • Delete Price Level Message
  • Trade Message
  • New Options Strategy Definition Message
  • New Options Market Definition Message
  • RFQ Message
  • Option Open Interest Message
  • Option Settlement Price Message
  • Old Style Options Trade and Market Stats Message