Interactive Data Cranks Opra Conflation Tool

The full-tick version of Opra's feed that is also delivered by Interactive Data's PlusFeed will be unaffected by the move, which should have the knock-on effect of making more bandwidth available for the ever-growing full-tick feed, officials say.

Currently, the Essential Options service distributes the best bid and offer quotes and trade data from Opra, producing bandwidth savings of around 40 percent compared to the full depth of data provided on the full-tick feed, says Sean Kirlin, director of product management at Interactive Data.

However, the conflated option, which consumed less than 2 megabits per second (mbps) of bandwidth when first launched in 2005, now consumes up to 5.3 mbps, Kirlin says. "So it is getting to the point where even our mitigated feed has become too much [of a drain on infrastructure] for clients to keep up with," he says.

The new conflation algorithm being rolled out this week will at the start of each day scan the trading activity and open interest for every contract, and separate active contracts from those that are classed as non-active, which have no open interest and have not traded in the last two days. All trade data will continue to be distributed in real time, but active contracts—which could see several price updates per second—will now be aggregated at five-second intervals, while the vendor will now send out updates in non-active contracts every five minutes.

These non-active updates usually do not provide any actual price change. "We can limit these updates, because these are the ones that are killing the system," Kirlin says. "Clients aren't upset about update rates for instruments with a lot of activity. But with the Opra feed, there seem to be many instruments that are updating but not trading, and are just taking up space."

The change will immediately reduce the size of the conflated feed to 3 mbps of data, potentially resulting in "significant savings" for clients and extending the lifespan of their communications infrastructure, he says.

Kirlin says the Essential Options service has between 25 and 30 clients, and hopes that making the feed more manageable will attract more "casual options users" such as brokers in other asset classes "who may look at options, but for whom options is not their main focus," and for whom the cost of consuming full-tick Opra data may be prohibitive at current volumes.

He says there are no programming changes to PlusFeed itself as a result of the change, though clients whose systems expect to receive updates every second may have to alter those systems to expect data every five seconds or five minutes instead.