High Speed Vendor Feed also known as HSVF is the market data vendor protocol of the Electronic Sola Trading platform [1] currently being used for the dissemination of market data for options, futures, Forwards and other exchange-listed derivative securities for five major derivative exchanges globally which include the following:

The HSVF protocol is part Sola Trading Solutions which is both designed and developed by The Montreal Exchange (Bourse de Montréal)[8] which is now a fully owned subsidiary of the TMX Group.

HSVF parses and broadcasts all of its market data in 4 major Sub categories:[9]

  • default Messages for Equity, ETF and Index options
  • F Messages for futures
  • B Messages for North American Options on Futures
  • S Messages for all Derivative Strategies including Spreads, Strips, Straddles, Strangles, Combos, and User defined Complex orders.[10]

The basic List of Messages that are available across all HSVF broadcasts are:

  • Trades (C, CF, CB, CS)
  • Request for Quotes (D, DF, DB, DS)
  • Quotes (F, FF, FB, FS)
  • Market Depth (H, HF, HB, HS)
  • Trade Cancel (bust) (I, IF, IB, IS)
  • Instrument Key (J, JF, JB, JS)
  • Instrument Summary (N, NF, NB, NS)
  • Beginning of Instrument Summary (Q, QF, QB, QS)[10]

HSVF various exchanges uses the following global Identifiers: Q = Montreal Exchange, B = Boston Options Exchange, E = Turquoise (trading platform) (Derivatives), O = Oslo Børs, I = IDEM (Italian Derivatives Equity Market) on Borsa Italiana.

References Edit

  1. TMX Datalinx Product Sheet for the HSVF Protocol "source 1"
  2. Box Outbound Market Data HSVF "source 2"
  3. M-X Homepage with Link to Sola Platform information"source 3"
  4. Automated Trader Exchange News, December 7, 2009 "source 4"
  5. Turquoise Derivative Launch "source 5"
  6. Oslo Børs Publication December 7, 2009 "source 6"
  7. WFE World Federation of Exchange Publication November 9, 2010 "source 7"
  8. M-X Homepage with Link to Sola Platform information"source 8"
  9. HSVF Specs "[1] source 9"
  10. 10.0 10.1 Latest Published Turquoise HSVF Specifications "source 10"

External links Edit

  • SOLA Homepage [2]
  • HSVF Specifications Canada [3]
  • HSVF Specifications London-Norway [4]
  • HSVF Specifications Italy [5]
  • HSVF Specifications US [6]

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