Introducing DEEP, the IEX Depth of Book and Last Sale Feed

IEX Trading Alert #2017 - 011

Overview

IEX will launch its free Depth of Book and Last Sale feed ("DEEP") on Monday, May 15, 2017. Participants may use DEEP to receive aggregated quotations for all displayed orders resting on the IEX Order Book at each price level, as well as last sale information for executions on IEX. Additional detail about the functionality of DEEP, the timeline for testing, and requirements for consuming the data feed is included below and in the IEX DEEP Specification.

Depth of book data will also be available via the IEX API on May 15, 2017. TOPS will continue to be a direct market data feed offering of the Exchange.

Functionality

DEEP provides aggregated size of resting displayed orders at a price and side on the IEX Order Book. DEEP does not indicate the number or size of individual orders at any price level and does not represent non-displayed orders or non-displayed portions of reserve orders.

DEEP also provides last trade price and size information for executions on IEX in the same manner as TOPS. Trades resulting from either displayed or non-displayed orders matching on IEX are reported. Routed executions are not reported.

Additionally, DEEP provides short sale restriction status, trading status, operational halt status, and security event information via security-related administrative messages. DEEP also provides event information about the market and data feed via administrative messages. Pending SEC approval, for IEX-listed securities, DEEP will provide current price, size, imbalance information, auction collar information, and other relevant information about upcoming auctions.

Testing Timeline

  • Beginning Tuesday, April 25, 2017, participants may access a sample packet capture of DEEP on the Exchange's website. The DEEP protocol in the packet capture is encapsulated within the IEX Transport Protocol (IEX-TP), as would be seen by a network capture tool, in the format defined in the IEX DEEP Specification.
  • Beginning Monday, May 1, 2017, participants may test consumption of DEEP in the ITF via an ITF cross-connect. Please see IEX Trading Alert #2017-010 for additional information about accessing the ITF via a dedicated cross-connect.
  • On Saturday, May 13, 2017, IEX will support a Saturday testing opportunity for participants in the Production environment.

Procurement

Those parties interested in consuming DEEP must complete, execute, and submit the necessary IEX Data Agreements and Forms to Market Operations via email. Recipients of TOPS are only required to complete, execute, and submit the Exchange Data Request Form and System Description (pg. 11-14) identifying that they would like to add a data feed subscription for DEEP.

Parties who are not physically connected to IEX, but wish to receive DEEP via cross-connect or private line ethernet must also complete, execute, and submit IEX Connectivity Forms and Agreements. Firms that wish to distribute DEEP externally are required to complete, execute, and submit the IEX Data Subscriber Agreement.

Please see the Data Checklist on the first page of the IEX Data Agreements and Forms document for additional guidelines or contact Market Operations (contact details below).

Pricing

DEEP, like TOPS, is a FREE market data offering from the Exchange. IEX will provide usage, internal distribution, and external distribution of DEEP free of charge.

Market Data Fees Fee
Internal Distribution Fee FREE
External Distribution Fee FREE
Usage Fee FREE

Definitions

  • Internal Distribution Fee is charged to any entity that receives the Exchange Market Data product directly from the Exchange or indirectly through another entity and then distributes the Exchange Market Data product internally or to an affiliate.
  • External Distribution Fee is charged to any entity that receives the Exchange Market Data product directly from the Exchange or indirectly through another entity and then distributes the Exchange Market Data externally to a third party.
  • Usage Fee is the fee charged for system or individuals' usage of Exchange Market Data.

Network Connectivity

DEEP is a multicast feed that supports data retransmission (i.e., gap fills) to recover dropped packets/messages. DEEP supports both TCP and UDP unicast retransmission options via IEX-TP.

Multicast and unicast gap fill details for DEEP at the IEX POP, Disaster Recovery data center, and ITF may be found in the IEX DEEP Specification. PIM RP configuration examples and network prefixes advertised are also located in the Network Details section of the specification.

For additional information, please see the IEX Connectivity Manual.

IEX API

The IEX API is a free, web-based API supplying IEX quoting and trading data for mobile, desktop, and trading applications. On May 15, 2017, the IEX API will offer depth of book data that corresponds to the data on DEEP.

Additionally, the IEX API currently offers the following data at no cost to users:

  1. TOPS aggregates the best bid and offer for all stocks quoted on IEX's order book, and also provides data for trades on IEX, including price, size and time. For an example of an app that's using TOPS, see the IEX TOPS Viewer app.
  2. MARKET tracks industrywide equity trading volume. For an example of an app that's using MARKET, see the IEX Market volume app.
  3. STATS collects aggregate metrics, including volume, notional volume, routed volume and market share. For an example of an app that's using STATS, see the official IEX mobile app.

Visit iextrading.com/developer for more details on IEX API 1.0. Details regarding consumption of DEEP data through the IEX API will be published in the coming weeks.

More Information

Please contact IEX Market Operations, Network Operations, or Sales with any questions:

About IEX

IEX is on a mission to build fairer markets. Founded in 2012 and headquartered in New York City, IEX introduced its first trading venue in 2013 and launched as a U.S. stock exchange in 2016. IEX is the stock exchange that believes that every investor has the right to trade on equal and fair terms, on every trade. Learn more at: iextrading.com.