Interactive Data FAQs

This sample demonstrates methods for requesting and processing tick or minute bars. Please see the History sample for daily or greater interval bars. There is a link to download the sample at the end of this article.

Before you run the sample, you need to have the following:

Java Runtime Environment (JRE) 1.6 or higher

A current ICE Data Services client account. If you do not yet have an account, click here to find out about setting up a trial.

To run the sample executable jar from a command line, go to the folder in which you unzipped the sample (see attachment below) and enter the following command:

Windows

>java -jar TickHistorySample.jar [-h <host>] -u <username> -p <password> [-b <beginDate> -e <endDate> -i <interval> -s <symbols>] [-o <options>]

Linux

$export LD_LIBRARY_PATH=./bin

$java -jar TickHistorySample.jar [-h <host>] -u <username> -p <password> [-b <beginDate> -e <endDate> -i <interval> -s <symbols>] [-o <options>]

where:

Argument

Value

Description

-h

<host>

is the address to use to connect to the ICE Data ServicesConsolidated Feed Network.

-u

<username>

is the username for your client (required field)

-p

<password>

is the password for your client (required field)

-b

<beginDate>

is the start date for the record set. Date format is "YYYY/mm/dd hh:mm:ss"

-e

<endDate>

is the end date for the record set. Date format is "YYYY/mm/dd hh:mm:ss"

-i

<interval>

Specifies the interval for the request. Takes an int where: 0 = Tick Greater than 0 = minute intervals (e.g. 1 = 1-minute bars, 5 = 5-minute bars, etc.)

-s

<symbols>

is the symbol, or symbols, to use for making the historical request. A single instrument may be entered, or a comma separated list of symbols. Symbols that include a space must be enclosed in quotes.Multiple symbols must be separated by commas with no spaces. If one of the symbols contains a space, the entire list must be enclosed in quotes.

-s ICE,GE,WFM -s "ICE,CL #F,WFM"

-o

<options>

is one or more options supported by this sample. For a complete list of options, run the sample without a username or password. This will display the online help for the sample and provide a list of available options.

Note:<username> and<password> must be entered at the command line, but the other arguments are optional. If you do not provide a value for an argument the sample will use a default value.

This sample demonstrates methods for requesting and processing Daily bars, or other intervals greater than a single day, such as Weekly or Monthly. Please see the Tick History sample for tick or minute bars. There is a link to download the sample at the end of this article.

Before you run the sample, you need to have the following:

Java Runtime Environment (JRE) 1.6 or higher

A current ICE Data Services client account. If you do not yet have an account, click here to find out about setting up a trial.

To run the sample from a command line, go to the folder in which you unzipped the sample (see attachment below) and enter the following command:

Windows

> java -jar DWMHistory.jar [-h <host>] -u <username> -p <password> [-b <beginDate> -e <endDate> -i <interval> -s <symbols>] [-o <options>]

Linux

$ export LD_LIBRARY_PATH=./bin

$ java -jar DWMHistory.jar [-h <host>] -u <username> -p <password> [-b <beginDate> -e <endDate> -i <interval> -s <symbols> [-o <options>]

where:

Argument

Value

Description

-h

<host>

is the address to use to connect to the ICE Data ServicesConsolidated Feed Network.

-u

<username>

is the username for your client (required field)

-p

<password>

is the password for your client (required field)

-b

<beginDate>

is the start date for the record set. <yyyy/mm/dd>

-e

<endDate>

is the end date for the record set. <yyyy/mm/dd>

-i

<interval>

is the interval for the request. Valid intervals include: DAILY, WEEKLY, MONTHLY, QUARTERLY, FOURMONTHS, THREEWEEKS, TWODAYS, YEARLY

-s

<symbols>

is the symbol, or symbols, to use for making the historical request. A single instrument may be entered, or a comma separated list of symbols. Symbols that include a space must be enclosed in quotes.Multiple symbols must be separated by commas with no spaces. If one of the symbols contains a space, the entire list must be enclosed in quotes.

-s ICE,GE,WFM -s "ICE,CL #F,WFM"

-o

<options>

is one or more options supported by this sample. For a complete list of options, run the sample without a username or password. This will display the online help for the sample and provide a list of available options.

Note: <username> and <password> must be entered at the command line, but the other arguments are optional. If you do not provide a value for an argument the sample will use a default value.

This sample demonstrates methods for requesting and processing market depth data. There is a link to download the sample at the end of this article. Use the .zip file if you are using Windows, or the .tar file if you are using Linux.

Before you run the sample, you need to have the following:

Java Runtime Environment (JRE) 1.6 or higher

A current Interactive Data client account. If you do not yet have an account, click here to find out about setting up a trial.

To run the sample executable jar from a command line, go to the folder in which you unzipped the sample (see attachment below) and enter the following command:

Windows

> java -jar MarketDepthSample.jar [-h <host>] -u <username> -p <pwd> [-t <type> -x <source> -s <symbols>]

Linux

$ export LD_LIBRARY_PATH=./bin

$ java -jar MarketDepthSample.jar [-h <host>] -u <username> -p <pwd> [-t <type> -x <source> -s <symbols>]

where:

Argument

Value

Description

-h

<host>

is the address to use to connect to the Interactive Data Consolidated Feed Network.

-u

<username>

is the username for your client (required field)

-p

<pwd>

is the password for your client (required field)

-t

<depth type>

is the depth type used to get the Level2 data

-x

<source>

is the depth source used to get the Level2 data

-s

<symbols>

The symbol, or symbols, to use for making the Market Depth request. A singleinstrument may be entered, or a comma separated list of symbols. Symbols thatinclude a space must be enclosed in quotes. For example:

-s "CL #F"

Multiple symbols must be separated by commas with no spaces. If one of thesymbols contains a space, the entire list must be enclosed in quotes. Here aretwo examples: -s IBM,GE,WFM -s "IBM,CL #F,WFM"

Note: If you do not enter a value for <host>, <depth type>, <depth source>, or <symbols> the values listed in theMarketDepthSample.properties file will be used.

<username> and <password> must be entered at the command line.

This sample demonstrates methods for requesting and processing depth information about a symbol. There is a link to download the sample at the end of this article. Use the .zip file if you are using Windows, or the .tar file if you are using Linux.

Before you run the sample, you need to have the following:

Java Runtime Environment (JRE) 1.6 or higher

A current Interactive Data client account. If you do not yet have an account, click here to find out about setting up a trial.

To run the sample executable jar from a command line, go to the folder in which you unzipped the sample (see attachment below) and enter the following command:

Windows

> java -jar GetDepthInfoSample.jar [-h <host>] -u <username> -p <password> [-s <symbol>]

Linux

$ export LD_LIBRARY_PATH=./bin

$ java -jar GetDepthInfoSample.jar [-h <host>] -u <username> -p <password> [-s <symbol>]

where:

Argument

Value

Description

-h

<host>

is the address to use to connect to the Interactive Data Consolidated Feed Network.

-u

<username>

is the username for your client (required field)

-p

<password>

is the password for your client (required field)

-s

<symbols>

The symbol, or symbols, to use for making the Market Depth request. A singleinstrument may be entered, or a comma separated list of symbols. Symbols thatinclude a space must be enclosed in quotes. For example:

-s "CL #F"

Multiple symbols must be separated by commas with no spaces. If one of thesymbols contains a space, the entire list must be enclosed in quotes. Here aretwo examples: -s IBM,GE,WFM -s "IBM,CL #F,WFM"

Note: If you do not enter a value for <host>, or <symbols> the values listed in the GetDepthInfoSample.properties file will be used

<username> and <password> must be entered at the command line.

This executable sample demonstratesmethods for requesting and processing headlines and news stories. There is a link to download the sample at the end of this article. Use the .zip file if you are using Windows, or the .tar file if you are using Linux.

Before you run the sample, you need to have the following:

Java Runtime Environment (JRE) 1.6 or higher

A current Interactive Data client account. If you do not yet have an account, click here to find out about setting up a trial.

To run the sample executable jar from a command line, go to the folder in which you unzipped the sample (see attachment below) and enter the following command:

Windows

> java -jar NewsSample.jar [-h <host>] -u <username> -p <password> [-m <mode> -y <storyID> -s <symbols>]

Linux

$ export LD_LIBRARY_PATH=./bin

$ java -jar NewsSample.jar [-h <host>] -u <username> -p <password> [-m <mode> -y <storyID> -s <symbols>]

where:

Argument

Value

Description

-h

<host>

is the address to use to connect to the Interactive Data Consolidated Feed Network.

-u

<username>

is the username for your client (required field)

-p

<password>

is the password for your client (required field)

-m

<mode>

Three modes available:- subscribe: Retrieves streaming headlines with different search criteria (e.g. category, service, symbol)One of the fields returned is the StoryID. The StoryID can then be specified to request the StoryBody usingthe story mode of the NewsSample.- request: Retrieves a fixed number of headlines with different search criteria (e.g. category, service, symbol).One of the fields returned is the StoryID. The StoryID can then be specified to request the StoryBody using theStory mode of the NewsSample.- story: When given a StoryID, this mode returns the StoryBody. One form of the StoryBody is in URL format whichclient application can further open the story text using a browser.

-y

<storyID>

is used with story mode to request a specific story. Client application can further open the story text using a browser.

-s

<symbols>

is a comma separated list of symbols for which to make a headline request. Multiple symbols mustbe enclosed in quotes with no spaces between symbols. For example: 'IBM,GE,WFM'

Note: If you do not enter a value for <host>, <mode>, <symbols> or <storyID> the values listed in the NewsSample.properties file will be used.

<username> and <password> must be entered at the command line.

This sample allows one to specify a symbol to retrieve a snapshot for all available contracts. Supported contract types are future, future options and stock options contracts. Month, year and put/call filters can further be specified for stock options and future options contracts. There is a link to download the sample at the end of this article. Use the .zip file if you are using Windows, or the .tar file if you are using Linux.

Before you run the sample, you need to have the following:

Java Runtime Environment (JRE) 1.6 or higher

A current Interactive Data client account. If you do not yet have an account, click here to find out about setting up a trial.

To run the sample executable jar from a command line, go to the folder in which you unzipped the sample (see attachment below) and enter the following command:

Windows

> java -jar QuoteChainSample.jar [-h <host>] -u <username> -p <password> [-s <symbols>]

Linux

$ export LD_LIBRARY_PATH=./bin

$ java -jar QuoteChainSample.jar [-h <host>] -u <username> -p <password> [-s <symbols>]

where:

Argument

Value

Description

-h

<host>

is the address to use to connect to the Interactive Data Consolidated Feed Network.

-u

<username>

is the username for your client (required field)

-p

<password>

is the password for your client (required field)

-s

<symbols>

is a comma separated list of symbols for which to make a chain request. For example: IBM,GE,WFM,O:AAPL7

Note:If you do not enter a value for <host> or <symbols> the values listed in the QuoteChainSample.properties file will be used.

<username> and <password> must be entered at the command line.

This sample allows one to specify a symbol to retrieve a snapshot for all available contracts. Supported contract types are future, future options and stock options contracts. Month, year and put/call filters can further be specified for stock options and future options contracts. There is a link to download the sample at the end of this article. Use the .zip file if you are using Windows, or the .tar file if you are using Linux.

Before you run the sample, you need to have the following:

Java Runtime Environment (JRE) 1.6 or higher

A current Interactive Data client account. If you do not yet have an account, click here to find out about setting up a trial.

To run the sample executable jar from a command line, go to the folder in which you unzipped the sample (see attachment below) and enter the following command:

Windows

> java -jar QuoteBoardBundleSample.jar [-h <host>] -u <username> -p <password> [-s <symbols>]

Linux

$ export LD_LIBRARY_PATH=./bin

$ java -jar QuoteBoardBundleSample.jar [-h <host>] -u <username> -p <password> [-s <symbols>]

where:

Argument

Value

Description

-h

<host>

is the address to use to connect to the Interactive Data Consolidated Feed Network.

-u

<username>

is the username for your client (required field)

-p

<password>

is the password for your client (required field)

-s

<symbols>

is a comma separated list of symbols for which to make a chain snapshot request. Multiple symbols mustbe enclosed in quotes with no spaces between symbols. For example: 'IBM,GE,WFM,O:AAPL7'

Note:If you do not enter a value for <host> or <symbols> the values listed in the QuoteBoardBundleSample.properties file will be used.

<username> and <password> must be entered at the command line.

This executable sample demonstratesmethods for requesting and processing available months for options contracts. There is a link to download the sample at the end of this article.

Before you run the sample, you need to have the following:

Java Runtime Environment (JRE) 1.6 or higher

A current Interactive Data client account. If you do not yet have an account, click here to find out about setting up a trial.

To run the sample executable jar from a command line, go to the folder in which you unzipped the sample (see attachment below) and enter the following command:

Windows

> java -jar OptionMonthSample.jar [-h <host>] -u <username> -p <password> [-s <symbol>]

Linux

$ export LD_LIBRARY_PATH=./bin

$ java -jar OptionMonthSample.jar [-h <host>] -u <username> -p <password> [-s <symbol>]

where:

Argument

Value

Description

-h

<host>

is the address to use to connect to the Interactive Data Consolidated Feed Network.

-u

<username>

is the username for your client (required field)

-p

<password>

is the password for your client (required field)

-s

<symbols>

is a comma separated list of symbols for which to make a Option Month/Year request. Multiple symbols must be enclosed in quotes with no spaces between symbols. For example: IBM,GE,WFM

Note:If you do not enter a value for <host> or <symbols> the values listed in the OptionMonthSample.properties file will be used.

<username> and <password> must be entered at the command line.

This sample allows one to specify a symbol to retrieve all available stock option roots for a given stock. This information can then be used to set the underlyer in the OptionMonthSample, the QuoteChainSample or the QuoteBoardBundleSample. There is a link to download the sample at the end of this article. Use the .zip file if you are using Windows, or the .tar file if you are using Linux.

Before you run the sample, you need to have the following:

Java Runtime Environment (JRE) 1.6 or higher

A current Interactive Data client account. If you do not yet have an account, click here to find out about setting up a trial.

To run the sample executable jar from a command line, go to the folder in which you unzipped the sample (see attachment below) and enter the following command:

Windows

> java -jar StockOptionRootSample.jar [-h <host>] -u <username> -p <password> [-s <symbols>]

Linux

$ export LD_LIBRARY_PATH=./bin

$ java -jar StockOptionRootSample.jar [-h <host>] -u <username> -p <password> [-s <symbols>]

where:

Argument

Value

Description

-h

<host>

is the address to use to connect to the Interactive Data Consolidated Feed Network.

-u

<username>

is the username for your client (required field)

-p

<password>

is the password for your client (required field)

-s

<symbols>

is a comma separated list of symbols for which to make a stock option root request. For example: IBM,GE,WFM

Note:If you do not enter a value for <host> or <symbols> the values listed in the StockOptionRootSample.properties file will be used.

<username> and <password> must be entered at the command line.

This executable sample demonstrates methods for requesting and processing snapshot or streaming Level 1 data. There is a link to download the sample at the end of this article.

note:This samples is an extended version of the Level1QuoteRequest sample. In addition to the normal operations found in the Level1QuoteRequest sample, this sample retrieves the qualifiers details, handles more fields, and displays the detailed qualifier descriptions for updates that have qualifiers.

Before you run the sample, you need to have the following:

Java Runtime Environment (JRE) 1.6 or higher

A current ICE Data Servicesclient account. If you do not yet have an account, click here to find out about setting up a trial.

To run the sample executable jar from a command line, go to the folder in which you unzipped the sample (see attachment below) and enter the following command:

Windows

> java -jar QualifiersParsingSample.jar [-h <host>] -u <username> -p <password> [-m <mode> -s <symbols>]

Linux

$ export LD_LIBRARY_PATH=./bin

$ java -jar QualifiersParsingSample.jar [-h <host>] -u <username> -p <password> [-m <mode> -s <symbols>]

where:

Argument

Value

Description

-h

<host>

is the address to use to connect to the ICE Data ServicesConsolidated Feed Network.

-u

<username>

is the username for your client (required field)

-p

<password>

is the password for your client (required field)

-m

<mode>

Indicates if the request is for snapshot or streaming data. Acceptable values include: snapshot or subscribe

-s

<symbols>

The symbol, or symbols, to use for making the request. A single instrument may be entered, or a comma separated list of symbols. Symbols that include a space must be enclosed in quotes. For example:

-s "CL #F"

Multiple symbols must be separated by commas with no spaces. If one of the symbols contains a space, the entire list must be enclosed in quotes. Here are two examples: -s IBM,GE,WFM -s "IBM,CL #F,WFM"

Note: <username> and <password> must be entered at the command line, but the other arguments are optional. If you do not provide a value for an argument the sample will use a default value.

This executable sample demonstratesmethods for requesting and processing snapshot or streaming Level 1 data. There is a link to download the sample at the end of this article.

Before you run the sample, you need to have the following:

Java Runtime Environment (JRE) 1.6 or higher

A current ICE Data Servicesclient account. If you do not yet have an account, click here to find out about setting up a trial.

To run the sample executable jar from a command line, go to the folder in which you unzipped the sample (see attachment below) and enter the following command:

Windows

> java -jar Level1QuoteRequest.jar [-h <host>] -u <username> -p <password> [-m <mode> -s <symbol>]

Linux

$ export LD_LIBRARY_PATH=./bin

$ java -jar Level1QuoteRequest.jar [-h <host>] -u <username> -p <password> [-m <mode> -s <symbol>]

where:

Argument

Value

Description

-h

<host>

is the address to use to connect to the ICE Data ServicesConsolidated Feed Network.

-u

<username>

is the username for your client (required field)

-p

<password>

is the password for your client (required field)

-m

<mode>

Indicates if the request is for snapshot or streaming data. Acceptable values include: snapshot or subscribe

-s

<symbols>

The symbol, or symbols, to use for making the Market Depth request. A single instrument may be entered, or a comma separated list of symbols. Symbols that include a space must be enclosed in quotes. For example:

-s "CL #F"

Multiple symbols must be separated by commas with no spaces. If one of the symbols contains a space, the entire list must be enclosed in quotes. Here are two examples: -s IBM,GE,WFM -s "IBM,CL #F,WFM"

Note: <username> and <password> must be entered at the command line, but the other arguments are optional. If you do not provide a value for an argument the sample will use a default value.

If you need assistance and you are in a trial phase, please contact your Pre-SalesAccount Manager. For all other inquiries please contact Corporate Support. Corporate Support may be reached as follows:

Email: [email protected]

Region

Coverage

Phone Number

Americas

(GMT) 13:00 - 23:00

+1 800 678 6333 - Option 1

Asia Pacific

(GMT) 23:00 - 07:00)

+61 2 8668 1600

EMEA

(GMT) 07:00 - 19:00

+44 20 7825 8710

An Interactive Data Pre-Sales executive will work with you to tailor an API solution that fits your project requirements. Answering the following questions will help start the discussion with your Pre-Sales contact:

What is the product or tool you are developing? (ie Charting application, Wallboard, Black or Gray Box trading system, etc.)

What exchanges are required?

Do you need real-time data, delayed data, or both?

Is this product for internal or external use?

Will the application reside on an end-user desktop or will it run on a server?

What is the target platformfor this application?(Windows / Linux / Mobile)

What programming language do you prefer?(C++, Java, other)

What are you future plans regarding this product?

Your Pre-Sales executive can provide you with a 30 day trial when you are ready to begin development. During the 30 day trial you will have delayed dataaccess to several exchanges at no cost.

Contact your Pre-Sales executive or click here to get started!

The Interactive Data XML Service is an API that allows the customer easy access to Interactive Datas data by way of a simple HTTP GET or POST request. The client supplies all necessary parameters in the query string of each request and the resulting response is in XML format. The service provides a wide range of flexibility to the customer; providing support for various instrument types, multiple field requests, and multiple price formatting options. The service can be easily integrated with a customers application providing fast reliable access to Interactive Datas data.

The XML response provided by the Interactive Data XML Service is that of a collection of standalone XML documents. Each document is associated with specific commands that are delivered over HTTP GET or POST requests. Each document is tailored to suite the request/response pair.

The following data services are available via XML:

Snapshot prices

Historical data

News

The TickHistoryManager interface allows you to request intraday bars and tick data for symbols.

Tick Data: Time and sales tick data.

Minute Bar Data: Historical bar data in minute increments. The smallest bar can be one minute, but other intervals can be specified, such as 3, 5, 30, and 60.

Tick Bar Data: Tick bars, such as 100 ticks per bar (100T) or 10,000 shares per bar (10000V).

Interactive Data provides up to 40 days of intraday tick data and several years of intraday minute intervals, depending on the instrument. For more information about how much historical data is available, see this knowledge base article.

Most analytics concerning bar data require somewhere between 300 to 600 bars of data. Requests for bar data should use an interval amount that results in the number of bars required by the applications analytical operations. The table below provides examples of the intervals that an application should use to generate bar data.

Time Period

Minimum Interval Allowed

Current Day

One Minute

Two Days

One Minute

Five Days

Five Minutes

Ten Days

Ten Minutes

60 Days

Sixty Minutes

Supported Operating Systems and Processors

Operating System(s)

Windows Server 2003

Windows Server 2008

Windows Server 2012

Windows Vista

Windows 7 64-bit

Windows 8

Linux CentOS 6.x (64-bit) platform with gcc 4.3.4 or higher.

Processor

Intel & AMD

In addition to meeting the system requirements, you need the following:

The Consolidated Feed SDK

A current Interactive Data client account

Microsoft Visual C++ 2005 runtime components or Microsoft Visual Studio 2005 (This is only required for Windows.)

If you are using the Java API you will also need:

Java IDE (such as Eclipse or NetBeans, optional)

Java 1.6 or 1.7(The sample applications presented in this reference guide were written using Java 1.6.)

For a complete compatibility matrix, please click here.

The API provides Level 1bids, quotes, and trade data. Use theAPIto get a current snapshot of data or to receive streaming datafor a symbol.

The Level 1 data feed provides:

Access to more than 125 global exchanges

Real-time and delayed global data across all asset classes

Streaming data for up to 2500 unique symbols simultaneously(with provision for supporting more)

Level 1 data consists of the following:

Best-Bid-Offer (BBO): Getthe real-timebest bid (highest)and ask (lowest)quotesfor a symbol.

Trade data: Get the information for the last the trades on a symbol. The data includes the volume traded, trade price, and time of the sale.

Reference data: Get information on a symbol, such asits list exchange, description, identifiers, P/E Ratio, and security type.

For a list of supportedexchanges and venues, see the Exchange Coverage List.

Level 2 data consists of the "buyers" (bids) and the "sellers" (asks) pertaining to a specific instrument. While Level 1 provides the "best" bid and the "best" ask within a market, Level 2 data provides all the bids and all the asks contributing to that market.

The APIprovides access to the Level 2 depth data available from the Interactive Data Consolidated Feed. Use the APIto get an initial load of the top 50 levels (top 50 buyers, top 50 sellers) followed by streaming updates as they occur for a symbol. You can receive streaming data for up to 12 unique symbols simultaneously. Depending upon your account entitlements and services agreement with Interactive Data you may have the ability to stream more than 12 symbols.

Note: Level 2 data is available as real-time data only. The IDC Consolidated Feed does not offer delayed Level 2 data. You must be entitled for real-time data for each venue from which you need to receive Level 2 data. For Level 2 trial or testing purpose, IDC has canned data for a small set of exchanges. To access this data, contact IDC sales.

The table bellows describes the types of real-time data that the API provides:

Market Depth Type

Description

Order Book

Order books are collections of purchase and sale orders. For the initial snapshot, IDC sends the top 50 levels. For streaming updates, IDC sends all levels. Except for ARCA and LSE, book by price data is also available for order books.

Book by Level(Aggregate Depth)

Book by Level is the set of pre-defined price levels (by exchange) with aggregate size at that level and order count at that level.

Book by Price

Book By Price is just different view of Order Book. The orders are aggregated by price, to provide total size and order count at given price. There is no limit on how many price levels you can receive for given symbols. This depth type is mostly generated by IDC using order book (such as for TSX, Alpha, ICE, Bovespa), except for "NYSE Open Book" which comes from the "Book By Price" feed from the exchange.

Book by Market Maker

Book By Market Maker is the collection of "Best Price" from individual Market Makers. Market Makers typically take themselves off the market by putting out a very low bid price or very high ask price.

Book by Market Maker Extended

This is a special depth type provided by NASDAQ called "TotalView" which is a combination of Book By Price and Book By Market Makers. It is the collection of all the orders at a given price by a Market Maker.

In addition to market depth data, the API provides Net Order Imbalance data from NASDAQ and NYSE. The purpose of this data is to enhance transparency of the markets and to find an effective opening and closing price based on supply and demand in the marketplace. In the minutes before the open and the close, these markets disseminate details of the order imbalance.

The Interactive Data Consolidated Feed is a state-of-the-art, low-latency data feed product covering global on-exchange and Over-the-Counter (OTC) data across all asset classes. This feed provides development access through Interactive Data Corporations application programming interfaces (APIs), Zero Footprint access, and support for connectivity from third-party APIs.

Interactive Data provides a suite of APIs in C/C++, Java, and XML for access to the Interactive Data Consolidated Feed, allowing integration of rich market data content into your application. These APIs allow you to build your custom applications using the same APIs that power the Interactive Data Trading Solutions desktop products, such as the Market-Q, eSignal, FutureSource desktops. They are ideally positioned to power applications and can provide access via regional POPs through internet, leased line or colocation.

The API provides access to the data servers and services within the IDC Consolidated Feed Network. Each data service has a unique set of request functions that can be accessed by the API.

Capabilities

The API is a publish/subscribe API that doesnt require you to consume entire market feeds, but only the data that you need. When you request data from IDC, the IDC data service processes the request and returns responses asynchronously. The API provides event listener interfaces for handling responses and processing data.

In addition, the API allows you to subscribe to streaming data for both Level 1 and Level 2 data. Level 1 data consists of trade, best bid offer (BBO), and the instruments reference data. Level 2 data consists of market depth usually presented as either a detailed order book or an aggregate order book. You can subscribe to more than one instrument for streaming data and receive updates for those instruments as they occur. The number of instruments for which you can receive streaming data depends upon your account entitlements and service agreement with IDC.

Client Applications

Client applications that use the API can range from simple ticker displays to complex real-time trading and market analysis platforms. Regardless of the goals which a client application intends to meet, each client application using the API must perform the following main operations:

Startup Operations Includes creating connections to data services and setting up event listeners for those services.

Request and Process Data Operations Includes a variety of requests known to each of the data services, the handling of response events, and the work required to process the required data within those responses.

Shutdown Operations Includes closing all open connections to the data services.

Available Services

The client application can connect to a variety of services to gather different types of market data. The following is a list of the available services and the type of data they provide.

Service Type

Data Provided

Quote Service

Provides real-time or delayed streaming and snapshot data

Tick Service

Provides up to 10 days of intra-day tick data and up to 120 days of bar data*

History Service

Provides daily, weekly, and monthly bar data

Market Depth Service

Provides real-time NASDAQ Level II, NASDAQ SuperMontage ViewSuite PowerView, NASDAQ SuperMontage ViewSuite DepthView, and NASDAQ SuperMontage ViewSuite TotalView data. Also provides Electronic Communication Network (ECN), and NYSE OpenBook Quotes data.

News Service

Provides entitlement-based headlines and news stories.

*Extended tick and intraday bar data are available for a fee. Extended data provides up to 40 days of tick data and years of bar data.

Note: You are free to use any development environment of your choosing. The list below comprises those that the IDC Developer Support Team supports.

Java API (JStandard)

JDK 1.6 is the minimum supported JDK. Suggested development environments include the most recent two versions of:

Eclipse

Netbeans

Note that the Java API (JStandard) samples were written in Eclipse.

C++ (Standard API) - Windows

We support the following development enironments:

Visual Studio 2005

Visual Studio 2008

Visual Studio 2010

Visual Studio 2012

Visual Studio 2013

C++ (Standard) - Linux

GCC 4.3.4 or higher

For a complete compatibility matrix, please click here.

Please note that live, streaming depth is not available on trial accounts per exchange regulations. If you need to test depth during an API trial, please talk to your account manager about having canned depth entitlements added to your account. The depth sources below are available for non-trial accounts with appropriate exchange agreements and fees.

Value

Source

Description

1

NASDAQ

Nasdaq

2

NYSE

New York Stock Exchange

3

ARCA

NYSE Arca

4

PINKSHEET

Pink sheets

5

BULLETIN_BOARD

Over the Counter Bulletin Board

6

CME

Chicago Mercantile Exchange

7

CBOT

Chicago Board of Trade

8

NYMEX

New York Mercantile Exchange

9

COMEX

Commodity Exchange

10

TSX

Toronto Stock Exchange

11

CL2

Canadian Venture

12

ATS_ALPHA

Alpha ATS

13

ATS_CHIX

Chi-X ATS

14

ATS_PURE

Pure ATS

15

ATS_OMEGA

Omega ATS

16

TSX_CONSOLIDATED

Toronto Stock Exchange

17

ICE_US

ICE US Futures

18

ICE_INDICES

ICE Indices Futures

19

ICE_EUREX

IntercontinentalExchange

20

EURONEXT_EQUITY

Euronext

21

ENC

Euronext LIFFE ENC L2

22

EIR

Euronext LIFFE Int Rate Future

23

EEI

Euronext LIFFE EEI Future

24

LON

London Stock Exchange L2

25

BRA

Bratisalva

26

LUX

Luxembourg

27

ASF

ASX New Zealand Futures

28

SFE

ASX SFE

29

KOR

Korea

30

KOQ

KOSDAQ

31

OSE

Osaka Main Market

32

SHE

Shenzhen

33

BOM

Bombay

34

HNX

Hanoi

35

JAQ

Jasdaq

36

DCE

Dalian Commodity

37

LMM

LME mini

38

LME

LME minor metals

39

LMS

LME steel

40

MIE

MICEX Stocks

41

MIX

MICEX Currency

42

CYS

Cyprus

43

BUD

Budapest

44

IDM

Borsa Italiana DER

45

MIL

Milan Stock Exchange L2

46

BIM

Borsa Italian MOT L2

47

RTS

RTS classic

48

BVB

Bucharest

49

PRA

Prague

50

SWX

SIX Swiss Cash

51

MIC

MICEX Derivatives

52

NAE

Euronext NYSE ARCA Europe

53

MAC

Madrid Stock Exchange L2

54

UKR

UKraine equity

55

TAE

Tel Aviv

56

TAF

Tel Aviv Futures

57

XET

Deutsche Boerse Spot Market

58

XES

Deutsche Boerse Xetra Europe Stars

59

XIM

Deutsche Boerse Xetra International

60

XUS

Deutsche Boerse Xetra US Stars

61

OSF

Oslo Derivaties

62

OMB

Nasdaq OMX Baltic

63

OMX

Nasdaq OMX Nordic Equities

64

OMF

Nasdaq OMX Nordic Derivatives

65

OFI

Nasdaq OMX Nordic Fix Income

66

OMC

Nasdaq OMX Commodities

67

MEF

MEFF Renta Fija

68

MRV

MEFF Renta Variable

69

VIE

Vienna Cash

70

VFO

Vienna Derivatives

71

MIS

MICEX Government

72

ATH

Athens Equities

73

AHX

Athens Derivatives

74

WAR

Warsaw

75

MTS

MTS Group

76

RTF

RTS order driven

77

DUB

Irish Xetra

78

DT

Eurex European

79

BSP

Bovesp

80

SMA

Bovespa Soma

81

MEX

Mexico

82

BMF

BMF

83

NYL

NYSE LIFFE US metals

84

MX

Montreal futures L2

85

MXO

Montreal options L2

86

BT

BATS US Order Book

87

ASX

ASX Equities

88

ASO

ASX Options

89

NZX

New Zealand

90

TCM

TOCOM

91

TPX

Tokyo Derivatives

92

TSE

Tokyo Equities

93

TFX

Tokyo Financial

94

OSM

Osaka Futures

95

OSO

Osaka Options

96

SGX

Singapore Derivatives

97

SES

Singapore Equities

98

HKF

Hong Kong SE Futurers

99

HKG

Hong Kong Stock Exchange

100

GTB

Gre Tai Bonds

101

GTS

Gre Tai Equities and UTS

102

TAI

Taiwan

103

SHG

Shanghai

104

SET

Thailand

105

BMD

Bursa Malaysia Derivatives

106

KLS

Bursa Malaysia Equities

107

PHS

Philippine

108

NSF

NSE India Futures

109

NSE

NSE India

110

BOA

BOAT

111

BUR

Burgundy

112

BTE

BATS Europe

113

JSE

Johanessburg Equities

114

TUR

Turquoise

115

OSL

Oslo Equities

116

OFX

PLUS Markets London L2

117

CHX

CHIX Europe

118

LSI

LSE International

119

JKT

Jakarta Level 2

120

NAG

Nagoya Stock Exchange

121

BOF

Bombay Futures

122

NSO

NSE Options

123

EDGA

Direct EDGA

124

EDGX

Direct EDGX

125

KSP

KOSPI 200 Future

126

KSC

Korea CME Future

127

EQI

Equiduct HybridBook

128

EQM

Equiduct MarketByLimit

129

EGX

Egyptain Stock Exchange

130

TIX

Taiwan Futures

131

TLX

Euro TLX

132

ESG

Euronext Societe Generale

133

MSE

Macedonian Stock Exchange

134

TSO

Tokyo Equity Option

135

CN

CNSX

If you were using a trial account, and are now unable to log in, it is likely your trial has expired. By default, trial accounts are set up for 30 days and expire automatically. Please contact your account manager to request that your trial be extended.

The attached Compatibility Matrix (see link at the bottom of this article) includes the following tabs:

Change Log

This is a detailed list of Various Changes to the Matrix.

Operating Systems

This tab details all the supported Operating System combinations. General things to note about the Operating System Tab:

Only supported versions of the various APIs and Operating Systems are listed. If the version of API or Operating System is not listed, it is not supported as of the date of the file.

Checked Boxes indicate that the combination is supported

Unchecked combinations may work, but they have not been tested or officially supported.

Compilers

This tab details all the supported compiler combinations. General things to note about the Compiler Tab:

Only supported versions of the various APIs and compilers are listed. If the version of API or compiler is not listed, it is not supported as of the date of the file.

Checked Boxes indicate that the combination is supported

Unchecked combinations may work, but they have not been tested or officially supported.

Capabilities

This Tab of the compatibility matrix details all the Capabilites of the API offerings.

The API provides functions that support client-side calculations of options Greeks using these two calculation models:

Black-Scholes Model

Binomial Model

Below is a list of analytics and required input.

Analytic

Required Input

Black-Scholes

Binomial

Delta

1,2,6,7,8,9,10,11,13 (See note 1)

X

X

Gamma

1,2,6,7,8,9,10,13 (See note 1)

X

X

Theta

1,2,6,7,8,9,10,11,13 (See note 1)

X

X

Vega

1,2,6,7,8,9,10,13 (See note 1)

X

X

Rho

1,2,6,7,8,9,10,11,13 (See note 1)

X

X

Theoretical Value

1,2,6,7,8,9,10,11,13 (See note 1)

X

X

Implied Volatility (Bid/Ask/Mid)

Bid 1,2,4,6,8,10,12Ask 1,2,5,6,8,10,12Mid 1,2,4,5,6,8,10,12 (See note 2)

X

N/A

Intrinsic Value

8,3,11

X

N/A

Premium

3,4,5,8,11

X

N/A

Edge (Bid/Ask)

Bid 1,2,4,6,7,8,9,10,11,12Ask 1,2,5,6,7,8,9,10,11,12 (See note 2)

X

N/A

1 = stockBid 2 = stockAsk 3 = stockLast 4 = optionBid 5 = optionAsk 6 = riskInterest 7 = carry

8 = strike 9 = volatility 10 = daysToMaturity 11 = putCallIndicator 12 = flags 13 = optionStyle

(1) For this calculation, the volatility value (Volatility) must not be zero (0).(2) For bid, set the Bid_Ask_Flags field to USE_BID_FLAG. For ask, set the Bid_Ask_Flags field to USE_ASK_FLAG. For mid price ((bid + ask) / 2) volatility, set Bid_Ask_Flags toUSE_BID_FLAG+USE_ASK_FLAG.

Volatility Calculation

Required Input

Rolling average volatility

1,2,4,5,6,8,10,11

Interpolated weighted average volatility

1,2,3,4,5,6,7,8,10,11,12

Product Version Obsolescence

We typically support the last two feature releases of an API product, or any releases in the last two years (whichever is longer). If the product has had no new features in the last two years then we only support the latest release of that product.

Operating Systems and Compilers

We typically support the current and previous versions of operating systems and compilers at the time of the specific API Product release.

If a vendor no longer supports a particular operating system or complier, then IDC will no longer support it as well.

Example: When Microsoft no longer offered support for Windows XP, our product may happen to work on Windows XP, however we no longer offered support on Windows XP.

As part of the API offerings, we continually update the API Compatibility Matrix. This matrix details the current versions of APIs Products, operating systems, compliers, and features that are currently supported.

Product Versions

If a version of the API Product is not listed in the Matrix, it is no longer supported and we suggest that you upgrade to a supported version. Any fixes provided to a product will be applied to the current version in order to take advantage of all maintenance fixes.

Operating Systems and Compilers

If a version of operating systems or compiler is not listed, it may work on an unsupported operating system or compiler, however, it would not besupported since no testing has been done. If issues arise on an unsupported operating system or compiler, we might not be able to help. You must be able to prove that the issue also occurs on a supported operating system or compiler, and we will be happy to address your issue on that supported operating system or compiler. Please raise any questions about enhancements, requests to support new operating systems, compilers or features to your account manager or pre-sales contact.

The Interactive Data Consolidated Feed provided access to several US, European, and Asian exchanges.

Click here for a current list of supported exchanges.

Click here for exchange symbols suffixes.

These use cases are general descriptions of the types of implementations available using Interactive Data's Consolidated Feed. Please contact us for more detailed information.

Software Partner

A Software Partner is a company that has developed their own software application to be compatiblewith Interactive Data's content offering. The partner provides their application directly to ourmutualcustomer, to use in conjunction with IDC Data. Interactive Data delivers the data directly to the Customer, and maintains control of user entitlements. In this way, IDC can be Vendor of Record with exchanges.

Service Facilitator

A Service Facilitator can be defined as a third party organization that Interactive Data contracts with tofacilitate the delivery of data to mutual customers via the display application that the ServiceFacilitator has developed. The Service Facilitator uses its own distribution and entitlement system toprovide data to the customers end-users, however Interactive Data maintains ultimate control of the permissioning of thecontent and data flow to end-users.

Datafeed (Non-display)

An uncontrolled datafeed customer takes the data at their premises (or their hosted environment) and internallydistributes the data around their organisation. The permissioning and dissemination of the data is controlled by thecustomer and not by Interactive Data.

Datafeed (Redistribution)

An uncontrolled datafeed customer takes the data at their premises (or their hosted environment) and externallydistributes the data to customers. The permissioning and dissemination of the data is controlled by thecustomer and not by Interactive Data.

The HistoryManager interface allows you to request bar data for daily, weekly, monthly, or greater periods. If you make requests prior to the close of market, you will not receive a bar for the current day. If your request period spans multiple days then you will receive bar data up to the previous day.

The History Service also provides foreign currency rates for those end-users that are entitled to receive this data. See this KB article for the amount of historical data available.

Interactive Data Corporation (IDC) can perform Vendor of Record functions with the market centers available through the IDC Consolidated Feed. This means that IDC has the ability to report usage and remit fees to each of those market centers on a per user and/or usage basis.

Some implementations, such as an internal algorithmic trading system have no end users and are reported to the exchanges as internal data feed consumers. Other implementations, such as an end user application like the eSignal desktop application, are considered end-user terminals and require that Interactive Data report usage on a per user basis. These types of implementations are known as Software Partner applications. In order for IDC to act as Vendor for a third-party Software Partner solution, the application must:

Run on a client desktop

Have a graphical user interface (GUI)

Operate as a single end-user terminal

To ensure that IDC has the ability to act as Vendor for third-party Software Partner solutions, IDC is required to certify that the application adheres to the above criteria and general operational checks that ensure IDC is delivering data directly to the end-user of the application. In addition, the certification testing performed by Interactive Data ensures that applications do not misuse IDC data services, or inadvertently put large burdens on them.

Interactive Data has the right to deny certification to applications that fail to comply. Should Interactive Data find an issue with the way an application accesses the data servers, Interactive Data will notify the development personnel responsible for the application and make every attempt to resolve the problem. By remaining vigilant, Interactive Data ensures reliable service to a large customer base.

Note: Please contact your Interactive Data Account Manager if you have any questions or concerns regarding certification, or need to know your software requires certification.

Interactive Data can perform Vendor of Record functions with the market centers available through the IDC Consolidated Feed. This means that IDC has the ability to report usage and remit fees to each of those market centers on a per user and/or usage basis.

Some implementations, such as an internal algorithmic trading system have no end users and are reported to the exchanges as internal data feed consumers. Other implementations, such as an end user application like the eSignal desktop application, are considered end-user terminals and require that Interactive Data report usage on a per user basis. These types of implementations are known as Software Partner applications. In order for IDC to act as Vendor for a third-party Software Partner solution, the application must:

Run on a client desktop

Have a graphical user interface (GUI)

Operate as a single end-user terminal

To ensure that IDC has the ability to act as Vendor for third-party Software Partner solutions, IDC is required to certify that the application adheres to the above criteria and general operational checks that ensure IDC is delivering data directly to the end-user of the application. In addition, the certification testing performed by Interactive Data ensures that applications do not misuse IDC data services, or inadvertently put large burdens on them.

Interactive Data has the right to deny certification to applications that fail to comply. Should Interactive Data find an issue with the way an application accesses the data servers, Interactive Data will notify the development personnel responsible for the application and make every attempt to resolve the problem. By remaining vigilant, Interactive Data ensures reliable service to a large customer base.

If you have any questions or concerns regarding certification, or need to know your software requires certification, please contact your Interactive Data Account Manager.

The NewsManager interface allows you to request news headlines and stories from the news providers available from the IDC Consolidated Feed. For a list of available news services, refer to the eSignal Products webpage for News and Commentary Pricing.

The News Service provides up to 365 days of headlines, stories, and reports for all IDC Consolidated Feed newswires except Dow Jones and Comtex. The News Service provides 400 days of data for Dow Jones, and 90 days for Comtex.