OnixS Homepage

Borsa Italiana IDEM SOLA HSVF Market Data Handler

OnixS directConnect: Borsa Italiana IDEM SOLA HSVF Market Data Handler provides ultra-low latency access to the High Speed Vendor Feed (HSVF) market data feed via a TCP/IP interface. It is implemented as an easy-to-use yet flexible and powerful library that could be quickly integrated into the client infrastructure.

Key features

  • Certified
  • Ultra low latency (less than 1 usec), low CPU load
  • Easy-to-use API
  • Provides access to trades, quotes, market depth, bulletins, summaries and other statistics.
  • Incremental Book Management
  • Flexible per-security filtering
  • Convenient price representation as rational number
  • Convenient date/time representation
  • Flexible logging
  • Getting Started, Benchmark and Log Replay samples – designed for familiarization and to get up and running rapidly
  • Light hardware and deployment requirements
  • Multithreaded architecture

Borsa Italiana IDEM SOLA HSVF Market Data Handler by OnixS

Supported Message Types

Trade Messages

  • Option Trade (C)
  • Future Trade (CF)
  • Strategy Trade (CS)

Request for Quote Messages (RFQ)

  • Option Request for Quote (D)
  • Future Request for Quote (DF)
  • Strategy Request for Quote (DS)

Quote Messages

  • Option Quote (F)
  • Future Quote (FF)
  • Strategy Quote (FS)

Market Depth Messages

  • Option Market Depth (H)
  • Futures Option Market Depth (HB)
  • Future Market Depth (HF)
  • Strategy Market Depth (HS)

Trade Cancellation Messages

  • Option Trade Cancellation (I)
  • Future Trade Cancellation (IF)
  • Strategy Trade Cancellation (IS)

Instrument Keys Messages

  • Options Instrument Keys (J)
  • Futures Option Instrument Keys (JB)
  • Future Instrument Keys (JF)
  • Strategy Instrument Keys (JS)

Summary Messages

  • Option Summary (N)
  • Futures Option Summary (NB)
  • Future Summary (NF)
  • Strategy Summary (NS)

Beginning of Summary Messages

  • Beginning of Option Summary (Q)
  • Beginning of Furutres Option Summary (QB)
  • Beginning of Futures Summary (QF)
  • Beginning of Strategy Summary (QS)

Instrument Schedule Notice Messages

  • Instrument Schedule Notice Option (E)
  • Instrument Schedule Notice Futures Option (EB)
  • Instrument Schedule Notice Future (EF)
  • Instrument Schedule Notice Strategy (ES)

Other Messages

  • Group Status (GR)
  • Group Status (Strategies) (GS)
  • Group Status Schedule Notice (GC)
  • Bulletins (L)
  • Connection Message (RS)
  • End of Sales (S)
  • End of Transmission (U)
  • Circuit Assurance ("Heartbeat") (V)
  • Gap Sequence (W)