MARKET DATA API (C++/C#)
We offer a client side API, available in C++ or C#, suitable for turning multicast packets into individual messages within a client’s software. This API is optimized for efficient processing of high packet volumes with a low latency profile.
Clients interested in accessing our source code can contact us and provide a GitHub login. We can then enable their access to PCAP replay files for testing purposes.
SpiderRock can provide raw and normalized low latency multicast feeds covering US Equities, Options and Futures markets as well as a highly specialized Greek and Volatility feed.
* Normalized version of feeds are available via our MySQL API (SRSE)
The industry is currently challenged by the large amount of data traffic as well as the complexity of computing reliable greeks and volatilities in real-time. SpiderRock offers a unique set of normalized proprietary feeds allowing for efficient market data utilization.
SPIDERROCK PROPRIETARY FEEDS
Volatility & Greeks Feed
A reliable real-time feed for all US-listed options (equities and futures) providing options & underlying NBBO prices, bid/ask implied volatilities, SpiderRock implied surface volatilities & greeks, as well as proprietary analytics. This empowers clients to implement enterprise trading & risk solutions.
Normalized OPRA Feed
We offer a normalized version of the OPRA feed that can be proceessed on a single thread of a single core on a current generation machine which drastically reduces the infrastructure required. This feed includes the top two levels and sizes in the marketplace and a bitmask of all participating exchanges.
LOW LATENCY, HOSTED SOLUTION
Low Latency Service
Exchange feed pre-processing converting native protocol into a single binary format is done via a combination of FGPA and kernel bypass technology to deliver normalized data feeds. The data infrastructure runs on Arista switches and a mix of 40GB and 100GB fiber connections.
Our data service is hosted in the SpiderRock Cloud (NY4 / CH2). Clients can consume data feeds in their environment using their own feed handlers or our C++ / C# APIs. Alternatively, clients are able to host their software on SpiderRock-owned hardware and access it via remote display technology for a cost effective, managed solution.
Consult With Us
Please send your data and analytics inquiries to the SpiderRock data team via the contact form below.