Introducing Official Price Messages on TOPS and DEEP

IEX Trading Alert #2017 - 058

Overview

IEX will introduce a new message type to the IEX Depth of Book feed ("IEX DEEP") and IEX Top of Book feed ("IEX TOPS") to communicate the IEX Official Opening Price and IEX Official Closing Price for IEX-listed securities. The new Official Price Message type will be added to the latest IEX DEEP and TOPS versions (i.e., TOPS v1.6 and DEEP v1.0) on February 12, 2018. The Official Price Message will be available in the IEX Testing Facility ("ITF") on January 16, 2018.

Official Price data will also be available via the IEX API on February 12, 2018.

Functionality

Each day, IEX will disseminate an official opening and closing price for each IEX-listed security. The price disseminated via IEX DEEP, TOPS, and API will match those prices disseminated to the CTA SIP.

The IEX Official Opening Price is the price of the first IEX Auction match which occurs during Regular Market Hours, or the price of the initial last sale eligible trade on IEX during Regular Market Hours if there are no shares traded in such auctions. The IEX Official Closing Price is the price of the Closing Auction (or Volatility Auction, when an IEX-listed security is subject to an LULD trading pause at or after the Closing Auction Lock-in Time), or the price of the final last sale eligible trade on IEX during Regular Market Hours if there are no shares traded in such auctions. If there is no qualifying trade that meets the conditions of the IEX Official Opening or Closing Price for the current day, the previous official closing price will be used. For additional information about determining the IEX Official Opening or Closing Price, please see the IEX Auction Specification.

Architecture

IEX DEEP and TOPS are made up of a series of sequenced messages. Each message is variable in length based on the message type. IEX reserves the right to add message types and grow the length of any messages without notice, however has elected to provide notice for this change as it is the first of its kind. As noted in both the IEX DEEP Specification and IEX TOPS Specification, Subscribers should develop their decoders to deal with unknown message types and messages that grow beyond the expected length. Messages will only be grown to add additional data to the end of a message or to add additional flag values at the end of a flags field. The messages that make up the data feed are delivered using a lower level protocol that takes care of sequencing and delivery guarantees. Note that a Message Length field is provided with every message as part of framing defined in the IEX Transport Protocol Specification.

Testing Timeline

  • Tuesday, January 16, 2018: Participants may access a sample packet capture of IEX DEEP and TOPS on the Exchange's website. The IEX DEEP and TOPS protocol in their respective packet capture are 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 and IEX TOPS Specification, respectively.
  • Tuesday, January 16, 2018: Participants may test consumption of IEX DEEP and TOPS in the ITF via an ITF cross-connect. Please see IEX Trading Alert #2017-010 or the IEX Connectivity Manual for additional information about accessing the ITF via a dedicated cross-connect.
  • TBD: IEX will support a Saturday testing opportunity for participants in the Production environment.

IEX API

The IEX API is a free, web-based API supplying IEX quoting and trading data for mobile, desktop, and trading applications. On February 12, 2018, the IEX API will provide official price data for IEX-listed securities that corresponds to the data on IEX DEEP and TOPS.

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

  1. STOCKS provides stock quotes, charts, trading analysis, financial news, and market overview information. For an example of an app that's using STOCKS, see the IEX Stocks app.
  2. 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.
  3. MARKET tracks industrywide equity trading volume. For an example of an app that's using MARKET, see the IEX Market Volume app.
  4. 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.

More Information

Please contact IEX Market 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.