ICE iMpact Market Data Handler SDK ICE

The OnixS directConnect: ICE iMpact Market Data Handler SDK is a low-latency library for C++, .NET and Java designed for performance and ease of use. The Handler enables streaming the ICE Exchange UDP multicast real-time market data feed directly to the users application and trading strategy logic. Key Features include:

  • ICE pre-calibrated and pre-certified
  • Full support of required Direct Access User (DAU) functionality
  • 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 enables you to quickly integrate ICE market data without deep involvement in the specific protocol
  • Maintaining books and states for subscribed markets and products
  • Incremental Book Management
  • Automatic detection and recovery from failure scenarios
  • Flexible per-security filtering
  • Multiple feeds are supported simultaneously
  • Getting Started, Benchmark, Log Replay and Local Book Verifications samples are designed to get up and running rapidly
  • Light hardware and deployment requirements
  • Multithreaded architecture
  • Flexible logging
Subscription types ICE instruments ICE book depths
  • Per-market subscription
  • Per-market-type (feed) subscription
  • Futures/OTC
  • Options
  • Futures and Options UDS
  • Full Order Depth (FOD)
  • Top 5 Price Level (TOP5PL)
  • Top 10 Price Level (TOP10PL)
  • Top Of Book (TOB)

Logical architecture of the ICE iMpact Multicast Price Feed and position of OnixS ICE iMpact Handler

Supported ICE messages:

Common messages Messages for Full Order Depth Only (Furures/OTC) Messages for Price Level Only
  • 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
  • Market Snapshot Order Message
  • Add/Modify Order Message
  • Delete Order Message
  • Trade Message
  • Message Bundle Marker
  • Fixing Transition Message
  • Fixing Lockdown Message
  • Fixing Indicative Price Message
  • 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