High Speed vendor Feed

High Speed Vendor Feed is the market data vendor protocol of the electronic Sola Trading platform that is used for the dissemination of market data for options, futures, forwards and other exchange-listed derivative securities for five major derivative exchanges globally.

History

, the exchanges using the protocol include the following:

Boston Options Exchange,
Montreal Exchange
Turquoise (trading platform), Derivatives, a multilateral trading facility for trading of IOB Russian and Pan European Derivatives
Oslo Børs on the Oslo Stock Exchange,
IDEM on Borsa Italiana.

The HSVF protocol is part Sola Trading Solutions which was both designed and developed by The Montreal Exchange which from May 2008 became a fully owned subsidiary of the TMX Group.

Protocol definition

HSVF parses and broadcasts all of its market data in 4 major Sub categories:

default Messages for Equity, ETF and Index optionsF Messages for futuresB Messages for North American Options on FuturesS Messages for all Derivative Strategies including Spreads, Strips, Straddles, Strangles, Combos, and User defined Complex orders.

The basic List of Messages that are available across all HSVF broadcasts are:

Trades
Request for Quotes
Quotes
Market Depth
Trade Cancel
Instrument Key
Instrument Summary
Beginning of Instrument Summary

Various exchanges uses the following global Identifiers: Q = Montreal Exchange, B = Boston Options Exchange, E = Turquoise (trading platform), O = Oslo Børs, I = IDEM on Borsa Italiana.