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Live Market Data
Market data technical information
The CHIX MD Feed is the real-time data feed and connectivity protocol that provides data about orders entered into and executed on Chi-X. The data service utilises a proprietary protocol specifically (the CHIX MD port is “listen” only) designed for the high-speed dissemination of real-time order book information. Other benefits are:
- The real-time data feed is available either as a direct feed or via third party data vendors such as Reuters or Bloomberg in a standardised format
- Soup/ TCP market data connectivity for direct point to point connectivity
Example Vendors Market Data Pages
Bloomberg:
MOST IX (GO) details the most active Chi-X stocks
Page EXCH CHIX (GO) provides an overview of Chi-X
The ticker suffix is IX
MOST XC (GO) details the most active OTC stocks
The ticker suffix for Chi-X OTC traded stocks is XC
VOD LN becomes VOD IX
INGA NA becomes INGA IX
Reuters:
Page (CHIX) details all the Chi-X chain RICs. The RIC suffix is .CHI
E.g. VOD.L becomes VODl.CHI
ING.AS becomes INGas.CHI
Consolidated Market Data
Bloomberg:
Consolidated market depth is now available on the function MDM on Bloomberg.
Example: PHIA NA EQUITY MDM
In order to see consolidated quotes you will need to Edit Defaults and tick Launch
with all exchanges.
(Click on the example above)
Reuters:
Reuters now provide a consolidated data set in a further new RIC suffix, “.x”.
These RICs bring together data on all trades in a stock, as they happen as well
as the best bid and offer across venues in that stock. Example: PHG.x
CHIX MD Feed
The CHIX MD Feed is the vendor level data feed. It disseminates information about orders and executions on Chi-X in real time.
The service is a series of sequenced messages. Each message is variable in length based on the message type and is composed of printable ASCII bytes.
The services are delivered using the CHIX TCP protocol that maintains daily session integrity and recoverability.
CHIX TCP
CHIX TCP is a lightweight point-to-point protocol, built on top of TCP/IP sockets that allow delivery of a set of sequenced messages from a server to a participant in real-time. CHIX TCP guarantees that the participant receives each message generated by the server in sequence, even across underlying TCP/IP socket connection failures.
CHIX TCP participants can send messages to the server. These messages are not sequenced and may be lost in the case of a TCP/IP socket failure.
CHIX TCP is ideal for systems where a server needs to deliver a logical stream of sequenced messages to a participant in real-time but does not require the same level of guarantees for participant generated messages either because the data stream is unidirectional or because the server application generates higher-level sequenced acknowledgments for any important participant generated messages.
CHIX TCP is designed to be used in conjunction with higher level protocols that specify the contents of the messages that CHIX TCP messages deliver. The CHIX TCP protocol layer is opaque to the higher-level messages, except that the messages carried by CHIX TCP may not include the ASCII linefeed character and must be at least 1 byte long.
CHIX TCP also includes a simple scheme that allows the server to authenticate the client on login.