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OnixS directConnect

ICE iMpact Market Data Handler SDK

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Key features

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
Download

Free 30 day evaluation

Further information

Subscription types
  • Per-market subscription
  • Per-market-type (feed) subscription
ICE instruments
  • Futures/OTC
  • Options
  • Futures and Options UDS
ICE book depths
  • Full Order Depth (FOD)
  • Top 5 Price Level (TOP5PL)
  • Top 10 Price Level (TOP10PL)
  • Top Of Book (TOB)

img-ice-impact-data-handler-illustration

Supported ICE messages

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
  • Fixing Transition Message
  • Fixing Lockdown Message
  • Fixing Indicative Price Message
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

ICE iMpact Market Data Handler SDK

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


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.

Programming guides

Free 30 day evaluation

Our objective is to provide you with ready to use evaluation SDK download distributions for market access solutions that are specific to your target venue and code base.

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