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Introducing the Exchange-only TOPS Feed (TOPS v1.5) Containing Quotes and Trades

IEX Trading Alert #2016 - 022

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What you need to know:

  • As previously announced in IEX Trading Alert #2015-030, IEX will introduce an "Exchange-only" TOPS feed (TOPS v1.5) that will publish the aggregated best quoted bid and offer exclusively for securities that have transitioned to Investors Exchange (the "Exchange"). However, IEX now plans to make two changes to this previous announcement:
    • "Exchange-only" TOPS will be a permanent feed.
    • "Exchange-only" TOPS will support additional features (last sale information and retransmission capabilities) via a new specification.
  • TOPS v1.5 will be available for testing:
    • During the remaining Saturday Member Testing Opportunities (July 9, July 30, and August 13) in the Production environment.
    • Beginning Monday, August 1 for test symbols in the Production environment.
  • IEX plans to retire the existing TOPS feed (TOPS v1.4) by the end of 2016, therefore all participants must transition to TOPS v1.5 by the end of the year.

What features are introduced with TOPS v1.5?

The Investors Exchange TOPS Specification (TOPS v1.5) details all the features of TOPS including the new features described below:

Trade Related Messages

TOPS v1.5 supports two additional message types to transmit last sale information:

  • Trade Report Messages are sent when an order on the IEX Order Book is executed in whole or in part. TOPS sends a Trade Report Message for every individual fill. Trades resulting from either displayed or non-displayed orders matching on IEX will be reported. Routed executions will not be reported. Trade Report Messages will contain the following information:
    • Symbol
    • Size
    • Price
    • Trade ID
    • Timestamp
    • Sale Conditions (ISO, Form T, Odd Lot)
    • Trade Through Exempt Flag
  • Trade Break Messages are sent when an execution on IEX is broken on that same trading day. Trade breaks are rare and only affect applications that rely upon IEX execution based data. Trade Break Messages will contain the following information:
    • Symbol
    • Size
    • Price
    • Trade ID
    • Timestamp

Retransmission Capabilities

TOPS v1.5 supports data retransmission (i.e., gap fills) to recover dropped packets/messages. TOPS v1.5 supports both TCP and UDP unicast retransmission options in the latest Investors Exchange Transport Protocol Specification (IEX-TP v1.2).

30 Second Quote Refresh Decommissioned

Currently, unchanged and zero quotes are resent every 30 seconds as new messages by TOPS. In TOPS v1.5, this functionality will no longer exist since participants may request retransmissions through the gap fill servers.

How can IEX ATS Data Recipients order TOPS v1.5?

Users who currently receive IEX ATS data and would like to receive Exchange data ("Data Recipients") can request TOPS v1.5 by completing the Data Agreement and Exchange Data Request Form in the Exchange Data Agreements and Forms package and submitting it to IEX Market Operations.

How can Data Recipients connect to TOPS v1.5?

TOPS v1.5 connectivity details for muticast transmission and gap fill servers may be found in the TOPS Specification (TOPS v1.5). Note that TOPS v1.5 multicast addresses are different than those found in TOPS v1.4.

What are the testing opportunities for TOPS v1.5?

Participants may test TOPS v1.5 during the Exchange testing opportunities and pre-launch period, in the Production environment. As a reminder, those opportunities are listed below.

  • Remaining Saturday Member Testing Opportunities:
    • Saturday, July 9
    • Saturday, July 30
    • Saturday, August 13
  • Exchange pre-launch period (test symbols only) begins Monday, August 1 and ends on Thursday, August 18

What is the deployment schedule for TOPS v1.5?

IEX will introduce TOPS v1.5 during the two-week security-by-security phase-in period for the Exchange on the securities that have transitioned to the Exchange. The Exchange phase-in period is scheduled as follows:

  • August 19 - 23 (F - Tu): Two non-test securities (VG, WIN)
  • August 24 - 26 (W - F): Ten non-test securities (VALE.P, VG, VHC, VIAV, VIP, VLY, WIN, XOMA, YINN, ZIOP)
  • August 29 - 30 (M - Tu): All symbols starting with 'Y' - 'Z', VALE.P, VG, VHC, VIAV, VIP, VLY, WIN, XOMA
  • August 31 - September 1 (W - Th): All symbols starting with 'V' - 'Z'
  • September 2 (F): All symbols ('A' - 'Z')

During the Exchange transition, how will TOPS provide quotations?

There will be no change to the existing TOPS feed (TOPS v1.4) during the Exchange launch; TOPS v1.4 will continue to publish the aggregated best quoted bid and offer for all securities, including securities on both the IEX ATS as well as those transitioned to Investors Exchange (TOPS v1.4 does not and will not distinguish between IEX ATS and Exchange securities). TOPS v1.4 will be available throughout the exchange transition and will remain as a real-time market data source until the end of 2016, at which point it will be retired.

For market participants who desire a proprietary feed which exclusively identifies the quotes for securities that have transitioned to the Exchange, the "Exchange-only" TOPS feed (TOPS v1.5) will publish the aggregated best quoted bid and offer (i.e., top of book) exclusively for securities that have transitioned to the Exchange. Once a security is transitioned from the IEX ATS to the Exchange, the aggregated best quoted bid and offer position for such security will begin publishing on TOPS v1.5. TOPS v1.5 is optional during the transition, but will be the standard multicast specification for the Exchange.

Where can I learn more?

About IEX

Dedicated to institutionalizing fairness in the markets, IEX provides a more balanced marketplace via simplified market structure design and cutting-edge technology. IEX operates a fair-access platform accessible by any qualified broker dealer. IEX is driven by a team of cross-industry experts with backgrounds spanning market venues, electronic trading, and broker-dealers. IEX is the first equity trading venue seeded exclusively by a consortium of buy-side investors, including mutual funds, hedge funds, and family offices. Learn more at: iextrading.com.