CBOE Streaming Market

 

CBOE Streaming Markets (CSM)


CBOE, C2 and BBO Book Depth Data Feeds

CBOE Streaming Markets (CSM) data feeds are low latency streams of current market data for the CBOE and C2 options markets, made available through Market Data Express (MDX).

CSM data feeds are available in various combinations for CBOE and C2, in the following Data services:

CBOE:

  • Best bid and offer (BBO) Data only
  • BBO and Book Depth Data
  • Complex Order Book (COB) Data only
  • Flexible Exchange (FLEX) Data only

C2:

  • BBO Data only
  • BBO and Book Depth Data
  • COB Data only

See below for more information about the contents of these Data services.

The Best bid and offer (BBO) data feeds contain the following information:

  • Outstanding quotes and standing orders at the best available price level on each side of the market, with aggregate size
  • Executed trades time, size, price, etc. (last sale data)
  • Totals of customer versus non-customer contracts (at the BBO)
  • All-or-None contingency orders priced better than or equal to the BBO
  • Expected opening price and expected opening size (disseminated prior to the opening of the market and during trading rotations)
  • End-of-day summary by product, including open, high, low and closing price during the trading session (disseminated after the close of a trading session)
  • Recap messages (disseminated during a trading session any time there is a change in the open, high, low or last sale price of a listed option, including product name and total volume traded in the product during the trading session)
  • Complex Order Book (COB) information - see above for more details
  • Product IDs and codes for all listed options contracts

BBO Data is available for either CBOE or C2, or both markets. The quote and last sale data contained in the BBO data feed is identical to the data sent to the Options Price Reporting Authority ("OPRA") for redistribution to the public.

A Book Depth data feed is available to supplement the CBOE and C2 BBO data feeds. The Book Depth data feed adds quotes and standing order information for up to four price levels on each side of the market for both simple orders and complex strategies (see above for more information about COB). Book Depth Data is refreshed every 2 minutes during a trading session. The Book Depth data feed is generally ordered with the corresponding BBO data feed.

Customers that receive CBOE and C2 Data directly from MDX are required to have two data lines between the Customer and MDX's production data center. This requirement is in place so that Customers will continue to receive Data if one data line becomes inoperable. MDX strongly encourages Customers that receive Data from MDX indirectly through an authorized redistributor (e.g., an extranet service provider or other third party) to maintain two data lines to the authorized redistributor. Customers are also encouraged to maintain a data line to MDX's disaster recovery site, but this is not required. Connectivity charges and port fees described in the applicable Fee Schedule apply separately to each data line.

The Complex Order Book (COB) data feeds contain the following information for complex strategies (multi-leg trades, such as spreads, straddles and buy-writes) for the chosen market (CBOE or C2):

  • Quotes and standing orders on each side of the market
  • Executed trades time, quantity, price, etc. (last sale data)
  • Totals of customer versus non-customer contracts (at the BBO)

COB data feeds are available independently of the single-leg quote and last sale Data for the chosen market, and can be ordered as either BBO or BBO and Book Depth Data. COB is included with the single-leg quote and last sale data feeds for each market at no additional charge.

Extended Trading Hours data from extended trading hour sessions (anticipated to begin in 2015) will be made available to BBO and Book Depth Customers free of charge.

Display Only Service view only external distribution of BBO and Book Depth Data Feeds.

The Flexible Exchange® (FLEX®) option data feed contains last sale data (time, quantity, price, etc.) for trades executed on CBOE (FLEX options are not traded on C2), both on-floor and through the CFLEX electronic platform. The FLEX data feed is available at no additional charge.

Data service Fees and connectivity charges can be found in the applicable Fee Schedule:




Options involve risk and are not suitable for all investors. Prior to buying or selling an option, a person must receive a copy of Characteristics and Risks of Standardized Options (ODD). Copies of the ODD are available from your broker, by calling 1-888-OPTIONS, or from The Options Clearing Corporation, One North Wacker Drive, Suite 500, Chicago, Illinois 60606. The information on this website is provided solely for general education and information purposes and therefore should not be considered complete, precise, or current. Many of the matters discussed are subject to detailed rules, regulations, and statutory provisions which should be referred to for additional detail and are subject to changes that may not be reflected in the website information. No statement within the website should be construed as a recommendation to buy or sell a security or to provide investment advice. The inclusion of non-CBOE advertisements on the website should not be construed as an endorsement or an indication of the value of any product, service, or website. The Terms and Conditions govern use of this website and use of this website will be deemed acceptance of those Terms and Conditions.