Depth of Book and Last Sale Feed
DEEP is used to receive real-time depth of book quotations direct from IEX. The depth of book quotations received via DEEP provide an aggregated size of resting displayed orders at a price and side, and do not indicate the size or number of individual orders at any price level. Non-displayed orders and non-displayed portions of reserve orders are not represented in DEEP.
DEEP also provides last trade price and size information. Trades resulting from either displayed or non-displayed orders matching on IEX will be reported. Routed executions will not be reported.
Top of Book Quote and Last Sale Feed
TOPS is used to receive real-time top of book quotations direct from IEX. The quotations received via TOPS provide an aggregated size and do not indicate the size or number of individual orders at the best bid or ask. Non-displayed orders and non-displayed portions of reserve orders are not represented in TOPS.
TOPS also provides last trade price and size information. Trades resulting from either displayed or non-displayed orders matching on IEX will be reported. Routed executions will not be reported.
HIST is used to download historical data from IEX. Data will be available for download from the IEX website on a T+1 basis. Additionally, the most recent twelve months of data will be available via download from the IEX website.
|Data Feed||Version||Protocol Options||Sample pcap|
|IEX DEEP||DEEP v1.0||IEX-TP v1||April 25, 2017*|
|IEX TOPS||TOPS v1.5||IEX-TP v1||July 9, 2016|
* The DEEP pcap does not have sample Security Directory or Auction Information Messages. IEX will provide such messages in a packet capture prior to the support of IEX-listed securities on the Exchange.
|Market Data Fees||Fee|
|Internal Distribution Fee||Free|
|External Distribution Fee||Free|
|Historical Data Access Fee||Free|
IEX will use commercially reasonable efforts to provide at least thirty (30) days’ advance notice to Data Subscriber (delivered via email and/or posted to IEX’s website) of any changes to its fee schedule.
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.
Users must complete, execute, and submit the necessary agreements and forms before accessing DEEP or TOPS.
|File||Agreement or Form (Pages in File)||Requirement|
|IEX Data Agreements and Forms||Data Agreement (pg. 2-10)||All Data Recipients|
|Exchange Data Request Form and System Description (pg. 11-14)||All Data Recipients|
|List of Affiliates (pg. 15)||Required for firms that distribute data to affiliates|
|Service Facilitator List (pg. 16-17)||Required for firms that use a service facilitator to disseminate IEX data|
|IEX Data Subscriber Agreement||Data Subscriber Agreement (pg. 1-5)||Required for firms that distribute data externally|
|IEX Connectivity Agreements and Forms||Connectivity Services Agreement (pg. 3-6)||If connecting via Cross-Connect or Private Line Ethernet|
|Physical Connectivity Order Form (pg. 7)||If connecting via Cross-Connect or Private Line Ethernet|
- ACTIV Financial
- Connectivity In a Box (CIB)
- R2G Services
- Redline Trading Solutions
- Vela Trading Technologies
HIST will be available for download on a T+1 basis.
The binary output of each data feed are provided in pcap format. Data is captured by IEX when the feed is disseminated by the System via the lower level IEX Transport Protocol (IEX-TP). Historical data files are named in a manner to identify the version of IEX-TP and the data feed specification used to produce the data. Firms must use appropriate specification versions to decode each pcap. For example, 20170515_IEXTP1_DEEP1.0.pcap.gz is the DEEP data file from May 15, 2017 which is formatted in accordance with IEX-TP v1 and DEEP v1.0.