ISE HOT Data is the full OPRA (Options Pricing Reporting Authority) daily tick file of all trades and BBO quotes for equities and index options but does not include FCOs.
Currently, there are two historical data offerings available:
- END OF DAY FILE through an annual subscription that can be downloaded from a FTP server.
- AD-HOC REQUESTS that allow subscribers to request historical data for a specific date range.
Both offerings are delivered as compressed files to reduce delivery bottlenecks and use the standard OPRA data format.
ISE HOT Data was developed in response to member, academic, and investor requests for additional market data to help improve trading efficiency, including:
- Back-testing of trading models
- Post-trade analysis
- Compliance
- Time and sales queries
- The end-of-day data is available at a flat fee of $1,500 per month (annual subscription) for unlimited internal use. The data is accessible from an FTP server over the Internet.
- The ad-hoc requests are processed and delivered on a portable hard-drive device that can then be reused. This offering costs $85 per day. There is a $1,000 minimum for all ad-hoc requests. All ad-hoc requests are subject to a processing fee of $499 for the first 400 GB of data and $399 for each additional 400 GB of data that is part of the same order.
Since the data is in the standard OPRA format, you may be required to write a parser to read this data. You may be able to use an existing line reader/feed handler if you already have a direct OPRA connection. The OPRA feed specification is available at: http://www.opradata.com/specs/data_recipient_interface.pdf.
The size of the daily file is approximately 50 GB per day and is delivered as a compressed file, which is about 15 GB. Subscribers need to run WinZip (version 9.0 or higher) to uncompress the files.
For additional details or to place an order, please contact Jeff Soule at (212)897-8160 or [email protected].
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