Options Price Reporting Authority (OPRA)
The Options Price Reporting Authority (OPRA) is the securities information processor responsible for collecting, processing, and disseminating consolidated quotation and transaction data for all U.S. listed options markets. OPRA provides essential real-time market data that enables price discovery and transparency in the options markets.
How OPRA works
OPRA operates as a critical market data consolidator, receiving feeds from all U.S. options exchanges and creating a unified market data stream. The system processes:
- Best bid and offer (BBO) quotes
- Trade reports
- Trading volume
- Open interest
- Administrative messages
Market data processing
OPRA handles massive data volumes due to the combinatorial nature of options markets, with multiple strike prices and expiration dates for each underlying security. The system must:
- Process high message rates during market volatility
- Maintain strict latency requirements
- Ensure accurate price/time sequencing
- Apply timestamp synchronization
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.
Feed types and protocols
OPRA offers different feed types to accommodate various user needs:
Binary feed
- High-performance binary protocol
- Optimized for low latency
- Used by algorithmic trading systems
Normalized feed
- Standardized format
- Easier integration
- Suitable for display applications
Capacity planning
OPRA regularly reviews and updates system capacity to handle growing message volumes:
- Monitors peak message rates
- Projects future capacity needs
- Implements system upgrades
- Conducts industry-wide testing
Market data entitlements
OPRA implements strict market data entitlements to control access:
- Professional vs. non-professional usage
- Real-time vs. delayed data
- Display vs. non-display applications
- Fee structure based on usage type
Role in market structure
OPRA plays a vital role in maintaining market integrity:
- Ensures price transparency
- Facilitates best execution
- Supports market surveillance
- Enables regulatory compliance
Technical considerations
Organizations consuming OPRA data must consider:
- Network capacity requirements
- Processing infrastructure
- Data storage needs
- Recovery procedures
- Redundancy architecture
Performance impact
Working with OPRA data requires careful attention to:
- Message queueing and processing
- Network latency management
- Hardware optimization
- Data filtering strategies
- Throughput capacity
OPRA's role as the consolidated tape for options markets makes it a critical component of the U.S. financial market infrastructure, providing essential price discovery and transparency functions for market participants.