NYSE Arca Integrated Feed

SUMMARY

NYSE Arca Integrated Feed is a premium market data product that provides comprehensive real-time order and trade information for NYSE Arca's electronic market. It delivers full depth of book visibility, order-by-order updates, and detailed trading data with nanosecond precision timestamps.

Key features and data content

The NYSE Arca Integrated Feed delivers comprehensive market data through several key components:

Full depth order book data showing all visible orders
Order-by-order updates including adds, modifications, and cancels
Trade execution reports and execution summaries
Auction imbalance information
Security status updates
Market session changes
Nanosecond-precision timestamps

Market data architecture

The feed utilizes a modern, low-latency architecture:

The architecture employs redundant multicast streams with sequence numbers for gap detection and recovery. This design helps ensure reliable data delivery while maintaining ultra-low latency.

Feed processing considerations

When consuming the NYSE Arca Integrated Feed, systems must handle:

Order book maintenance using unique order IDs
Real-time order book updates and trade processing
Auction imbalance processing for opening/closing auctions
Recovery from data gaps using the refresh service
Cross-connection requirements for optimal latency

Next generation time-series database

QuestDB is an open-source time-series database optimized for market and heavy industry data. Built from scratch in Java and C++, it offers high-throughput ingestion and fast SQL queries with time-series extensions.

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Market structure implications

The NYSE Arca Integrated Feed plays a crucial role in modern market structure:

Provides essential data for algorithmic trading strategies
Enables sophisticated market surveillance systems
Supports accurate transaction cost analysis
Facilitates development of advanced trading analytics

Comparison with other feeds

NYSE Arca Integrated differs from other market data products:

More granular than the SIP feed with full depth visibility
Lower latency than aggregated feeds
Order-by-order versus aggregated updates
Direct exchange connection versus consolidated feeds

Technical specifications

Key technical aspects include:

Binary message format for optimal performance
Message-based sequencing for gap detection
Separate refresh and real-time channels
UDP multicast protocol
Optional TCP retransmission service
Nanosecond timestamps

Business considerations

Organizations implementing NYSE Arca Integrated must consider:

Market data agreement requirements
Infrastructure costs including cross-connects
Processing capacity for peak message rates
Backup and disaster recovery needs
Integration with existing trading systems

The feed represents a significant investment but provides essential functionality for many market participants, particularly those engaged in high-performance trading strategies or market analysis.