Market Data Products

For Market Data specifications and forms, please visit our Document Library or contact SalesEurope@bats.com, +44 20 7012 8906.

Multicast PITCH

(Depth of Book)

Multicast PITCH provides real-time depth of book quotations and execution information with nearly half the latency of TCP PITCH and 20% fewer PITCH events. This is achieved by using binary messages (PITCH 2.0). Cboe offers a WAN-shaped and Gig-shaped version of the Multicast feed. Participiants may choose one or more of the four Multicast PITCH feed options depending on their location and connectivity to Cboe.

Multicast PITCH Specification

TCP PITCH

(Depth of Book)

Cboe TCP PITCH data feed offers uncompressed depth of book quotations and execution information using ASCII messaging (PITCH 1.0).

TCP PITCH Specification

Auction Feed

(Cboe Auction Data)

The Cboe Auction Feed is a direct data feed product that disseminates price and size information for securities participating in Cboe Auctions. The Cboe Auction Feed may be used by Cboe Data Recipients to obtain Opening, Closing and Periodic Auction information. Cboe Auction information is disseminated every five seconds during the Opening and Closing Auctions and in real time for Periodic Auctions.

Auction Feed Specification

DROP

(Participant Trading Activity)

Cboe DROP data feed is typically used by clearing firms or Participants to monitor trading activity. DROP sessions can be used to obtain execution information about single or multiple Participants with proper authorisation.

DROP Specification

Last Sale Feed

(Matched Trades Only)

Last Sale is ideal for market data distributors. It is a real-time, intraday TCP feed that disseminates matched trade price, volume and execution time on a Cboe book. Because quotes are not shown, Last Sale results in much less data than other feeds and requires less technology development for users. The Cboe Last Sale feed is provided in the prescribed MiFID II format.

Last Sale Specification