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

     

     

    ICE iMpact Market Data Handler SDK

    The OnixS directConnect: ICE iMpact Market Data Handler SDK solutions are implemented on multiple platforms including C ++ on Windows and  Linux (RedHat, CentOS, Ubuntu, etc) , Microsoft .NET Standards, and Java.

    The SDKs are available for download and include:

    • Feed Handler library
    • Documentation
    • Sample projects (Getting Started, Benchmark, Log Replay)

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