LIFFE To Develop New Feed Combining LMF, Connect

LONDON--With its move from a trading floor environment to an electronic trading system, the London International Financial Futures and Options Exchange (Liffe) has begun work on a new data feed to deliver the full suite of its market data.

The development comes at a time when Deutsche Börse, who's subsidiary Eurex is a core competitor to Liffe, has employed a consulting firm to develop a new feed infrastructure (see related story, this issue).

Liffe is aiming to go live with the new feed--internally named Liffe Data Feed--between late third quarter and early fourth quarter of 2000, according to Fraser Cowie, director of sales. The exchange has just entered a review and information gathering stage, involving discussions about requirements with its various users and the market data vendors that distribute its data. Development on the feed is expected to commence in the fourth quarter of this year.

Luis Barra, a programming manager who has been with the exchange for over four years, is leading the Liffe Data Feed project. A former member of the Information Providers User Group (IPUG), Jocelyn Maud is also working in the group.

The Liffe Data Feed will supersede the Liffe Market Feed (LMF), which collects the best bids and offers from the floor. It will also integrate additional data captured on the Liffe Connect electronic trading system. The current data feed configuration requires vendors and direct users to import data from the two different sources, LMF and a Liffe Connect feed, and reconcile between them before displaying on a screen.

"As we move to a fully electronic-based system, we are able to capture new data types, such as volume information for the bids and offers, implied prices and market depth, which LMF was not built to handle," says Cowie. "With the new feed, we are aiming to offer the same functionality and content from LMF and Liffe Connect on a single fast and reliable feed," he says.

It's early days yet, so technical standards and details have not been decided. But Cowie says that the new feed will be developed inhouse and will likely be based on the Liffe connect system. "It will be easier to modify Liffe Connect to add such things as high/lows than starting from scratch, and a large number of companies have already built interfaces to the Liffe connect Application Programming Interface (API)," says Cowie.

It is not clear if historical data, which Liffe currently offers in the form of CD-Rom's and the Internet, will be delivered via the feed. Cowie says it may be possible that there will be a demand for a certain amount of history, for example activity in the past 24 hours, which will then likely be added to the feed, with remaining history offered online or via the CD-Rom products.

The speed of the feed has also yet to be decided. LMF is only capable of handling 25 messages per second, while Liffe Connect can handle 1000 messages per second. In the interim, says Cowie, the LMF's capacity is being upgraded to handle 50 messages a second in August.

Liffe has 97,000 viewers of its data and 75 quote vendors that redistribute the data. Cowie points out, however, that 83,000 of those viewers--or 85 per cent--access the data from the top three global vendors, Reuters, Bloomberg and Bridge Information Systems, including Telerate.