High Speed vendor Feed

High Speed Vendor Feed also known as HSVF is the market data vendor protocol of the Electronic Sola Trading platform [1] currently being used for the dissemination of market data for options, futures, Forwards and other exchange-listed derivative securities for five major derivative exchanges globally which include the following:

The HSVF protocol is part Sola Trading Solutions which is both designed and developed by The Montreal Exchange (Bourse de Montréal)[8] which is now a fully owned subsidiary of the TMX Group.

HSVF parses and broadcasts all of its market data in 4 major Sub categories:[9]

  • default Messages for Equity, ETF and Index options
  • F Messages for futures
  • B Messages for North American Options on Futures
  • S Messages for all Derivative Strategies including Spreads, Strips, Straddles, Strangles, Combos, and User defined Complex orders.[10]

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

  • Trades (C, CF, CB, CS)
  • Request for Quotes (D, DF, DB, DS)
  • Quotes (F, FF, FB, FS)
  • Market Depth (H, HF, HB, HS)
  • Trade Cancel (bust) (I, IF, IB, IS)
  • Instrument Key (J, JF, JB, JS)
  • Instrument Summary (N, NF, NB, NS)
  • Beginning of Instrument Summary (Q, QF, QB, QS)[10]

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

References
  1. TMX Datalinx Product Sheet for the HSVF Protocol "source 1 Archived 2011-10-07 at the Wayback Machine"
  2. Box Outbound Market Data HSVF "source 2 Archived 2011-02-13 at the Wayback Machine"
  3. M-X Homepage with Link to Sola Platform information"source 3"
  4. Automated Trader Exchange News, December 7, 2009 "source 4"
  5. Turquoise Derivative Launch "source 5 Archived 2011-10-03 at the Wayback Machine"
  6. Oslo Børs Publication December 7, 2009 "source 6"
  7. WFE World Federation of Exchange Publication November 9, 2010 "source 7 Archived 2011-09-29 at the Wayback Machine"
  8. M-X Homepage with Link to Sola Platform information"source 8"
  9. HSVF Specs " Archived 2012-04-26 at the Wayback Machine source 9"
  10. Latest Published Turquoise HSVF Specifications "source 10 Archived 2012-04-29 at the Wayback Machine"
  • SOLA Homepage
  • HSVF Specifications Canada
  • HSVF Specifications London-Norway
  • HSVF Specifications Italy
  • HSVF Specifications US
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