Vendors Question ICE API Move

The Intercontinental Exchange may be forced to delay the migration to a new interface for its vendor datafeed because key data is not yet available, sources tell Inside Market Data.

Sources say the exchange planned to migrate consumers of its vendor datafeed from London-based ICE Futures—the former International Petroleum Exchange—to the main ICE Application Program Interface in June. The feed collects data on London-traded commodity derivatives contracts.

A spokesperson for the Atlanta-based ICE says the new API will provide data that could not be distributed over the old feed. "We do intend to move our quote vendor community onto the ICE API, as this will be functionally richer than the current vendor datafeed," she says. "New content that… we are unable to deliver on the old quote vendor feed includes Level 2 [market depth], derived spreads and the ICE Brent-WTI arbitrage prices."

She says the exchange has not set a formal date for the migration, but it expects it to be sometime this summer.

However, while the API provides futures settlement prices, vendors have to download a separate file of options settlement prices and combine it with the rest of the ICE data from the API, says a technology executive at one vendor. "Settlement prices are what you base options trading strategies on… They are fundamental to the algorithms you use."

The spokesperson confirms that options settlement prices are not yet available but says they "are in the process of being added…. [and] will be available to the quote vendors from the cut-over date."

But vendors say that they cannot migrate without the missing data, and they are casting doubt on whether the ICE can rectify the problem in the next three months.

"They are still not ready for us to cut over to using the API as the main mechanism to receive ICE data," says the technology executive. "In changing to the API, we are discovering gaps in the information that you can get through the API—for example, options settlement prices—that are available through the IPE vendor feed."

Another source says they were recently contacted by ICE, which was looking to gauge the importance of the missing data. Going live with the new API without the missing data "would not be good enough for our customers," the source says. "We responded that these are crucial to our customers… and ICE really needs to deliver them."

However, it remains to be seen how long it will take ICE to make the data available via the API. "There are still rumors that they may delay [the migration]," another source says. "If the vendors aren't connected, the source has no choice but to delay."

The second source is hoping that commercial instincts will lead ICE to delay the migration rather than proceed without the data, for which there is no other source. "It's not in an exchange's interest to not distribute market data—they make money from this. So I am confident that they will get it right and the migration will proceed when everything is in order," the source says. "I don't know if it will mean a delay or if they can fix it by June… But as a data vendor, we need to know what the schedule is."