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ICE iMpact Multicast Price Feed Handler The ICE

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OnixS directConnect: ICE iMpact Multicast Price Feed Handler 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 typesICE instrumentsICE 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 messagesMessages 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