Update: OPRA Message Change Prompts Bandwidth Increases
The expanded header message increases OPRA message sizes by 30 percent overall, participants say.
Although consumer firms have been advised by OPRA to ignore the field, vendors who must redistribute the OPRA feed including the new header format say that regardless of whether firms can utilize the expanded data, it still incurs a greater delivery burden.
The old message header format included a participant ID, a message category field, a message type field, and a message indicator field, each accounting for one byte. The header now includes a new, eight-byte transaction ID field, bringing the new total size for each OPRA message header to 12 bytes.
"Bandwidth costs money, but if you're receiving twice the amount of data, you need twice the amount of hardware and software, and one of the trends at the moment among our clients is infrastructure consolidation-clients looking for us to take over their infrastructure burden," says Ian McIntyre, European chief operating officer of low-latency data platform and feed handler provider SR Labs. "Every time there's a step-change, there is more bandwidth, hardware and software to be bought... and it's a drain on clients."
A spokesperson for low-latency ticker plant and enterprise datafeed vendor Activ Financial says the vendor is "fully supporting" the new header. "The most significant impact was on bandwidth required for receiving OPRA data because it expanded the message size by nearly 30 percent. [But] being that we have 40 Gigabit-per-second circuits in place for processing OPRA, our capacity is sufficient," Activ officials say.
"We provide real-time utilization updates to clients... and we did some infrastructure upgrades prior to this change, so it's not a big scramble for us. And there are actually some consistency and validation checks that we perform," says Daniel Bartucci, infrastructure product manager at Pico Quantitative Trading.
Prior to going live with the new format on Monday─which will be supported alongside the old format until March 18 in case of any need for OPRA to fall back to the old version─OPRA conducted a final test session with industry participants on Saturday, Feb. 27, where it tested the new data format in different scenarios, and simulated a fall back to the old message header format.
"In summary, the preparations and handling of the Exchange-Driven Change (EDC) for the OPRA feed were smooth and successful for Exegy and our customers," says David Taylor, chief technology officer at hardware appliance-based data platform and feed handler provider Exegy. "To minimize operational risk on behalf of our customers, we chose to implement forward- and backward-compatible changes in our OPRA feed handler. This not only aided in early deployment of the updated feed handler for testing and production hardening, but it also provided an automated way to handle conditions where OPRA chose to roll back to the prior format (a right that they reserved in the event of technical issues with the new format). We released these updates to our OPRA feed handler over five months ago. This enabled us to build significant confidence by supporting early acceptance tests by our customers and participating in multiple rounds of industry-wide testing on weekends."
McIntyre says the extended header has represented an opportunity for SR Labs to leverage its Filtered Options Feed service as a means to help clients reduce their bandwidth utilization─depending on their particular use case─by up to 75 percent.
Because FOF publishes data in the same raw data feed format used by OPRA, clients could easily move from the full-bandwidth feed to the lower-bandwidth filtered feed without needing to change formats or feed handlers, and which also allows them to conflate data to only four updates per second, depending on clients' needs, he says.
Taylor says the change also represents an opportunity for Exegy to mitigate clients' operational risk associated with implementing the new field. Exegy still ingests the high-capacity OPRA feed into its datacenter, then provides a range of flexible options for how clients can consume the data-either filtering it where needed, or storing every tick for historical analysis.
However, it also "probably spurs another opportunity on the client side to evaluate how to manage your bandwidth and feeds," Bartucci says, warning that while Pico also employs 40 Gbps networks to connect to exchanges, handling the additional data effectively isn't just about having the biggest telecom pipes.. "But if you haven't maximized your throughput models, all the bandwidth in the world won't help you."
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@waterstechnology.com or view our subscription options here: http://subscriptions.waterstechnology.com/subscribe
You are currently unable to print this content. Please contact info@waterstechnology.com to find out more.
You are currently unable to copy this content. Please contact info@waterstechnology.com to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@waterstechnology.com
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@waterstechnology.com
More on Emerging Technologies
Waters Wavelength Ep. 295: Vision57’s Steve Grob
Steve Grob joins the podcast to discuss all things interoperability, AI, and the future of the OMS.
S&P debuts GenAI ‘Document Intelligence’ for Capital IQ
The new tool provides summaries of lengthy text-based documents such as filings and earnings transcripts and allows users to query the documents with a ChatGPT-style interface.
The Waters Cooler: Are times really a-changin?
New thinking around buy-build? Changing tides in after-hours trading? Trump is back? Lots to get to.
A tech revolution in an old-school industry: FX
FX is in a state of transition, as asset managers and financial firms explore modernizing their operating processes. But manual processes persist. MillTechFX’s Eric Huttman makes the case for doubling down on new technology and embracing automation to increase operational efficiency in FX.
Waters Wavelength Ep. 294: Grasshopper’s James Leong
James Leong, CEO of Grasshopper, a proprietary trading firm based in Singapore, joins to discuss market reforms.
The Waters Cooler: Big Tech, big fines, big tunes
Amazon stumbles on genAI, Google gets fined more money than ever, and Eliot weighs in on the best James Bond film debate.
AI set to overhaul market data landscape by 2029, new study finds
A new report by Burton-Taylor says the intersection of advanced AI and market data has big implications for analytics, delivery, licensing, and more.
New Bloomberg study finds demand for election-related alt data
In a survey conducted with Coalition Greenwich, the data giant revealed a strong desire among asset managers, economists and analysts for more alternative data from the burgeoning prediction markets.