Eurex Market Data Interface

Eurex Release 14.0 introduces a new interface for the dissemination of price level aggregated, netted depth data in multicast format - the Eurex Market Data Interface - which offers a number of significant benefits. This new, lower granularity and lower bandwidth interface provides a more economical feed to those members that do not require the complete data offering of the Enhanced Broadcast Solution.

The netted market data interface utilizes the FIX Adapted Streaming protocol (FAST) and have low bandwidth requirements. The market data content provided is the same as the market data content via VALUES API, i.e. order book depth of ten for some futures and "top of book" for all other futures and all options products. Cross and Quote Request information are also be included in the new interface.

Importantly, the Eurex Market Data Interface sets new standards for message templates.

Existing VALUES API connectivity can be re-used, with minor reconfiguring of the connection. Members can also utilize Enhance Broadcast Solution connectivity for that purpose.

Some key design features of the Eurex Market Data Interface are as follows:

• Snapshots and deltas are disseminated "in-band" (i.e. both deltas and snapshots are carried on the same multicast address).
  
  
• Delta message sequence numbers are sent per-product rather than per-contract (as with the Enhanced Broadcast Solution).
  
  
• Note that the product grouping are different to the current Enhanced Broadcast Solution groups but the same as for VALUES API.
  
  
• No reference data is provided. Reference data must be obtained either via the Enhanced Broadcast Solution interface or via the enhanced TA111 report.

No additional charges apply for the interface and members can apply via the member section
(for Eurex members only) since July 2011.