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   NYSE Liffe U.S. Last Sale & Quotes  

NYSE Liffe U.S. Real-Time Data Feed provides Last Sale and Order Book data for NYSE Liffe U.S. options and futures products.

NYSE Liffe U.S. is the new US futures exchange of NYSE Euronext. The acquisition of the CBOT's precious metals complex from CME Group has brought trading of full-size and mini Gold and Silver futures, and options on futures contracts to NYSE Euronext's family of global exchanges. The NYSE Liffe U.S. market has now expanded to include MSCI Index Futures.

NYSE Euronext offers real-time market data on traded prices and order book information. It includes all securities listed on our cash and derivatives markets, as well as full details of our indices. To meet the specific needs of customers, market data is divided into 3 unique asset classes (cash market products, derivatives and indices) and various levels of depth. Our real-time market data is disseminated primarily via licensed distributors to end users, who pay monthly fees, and also directly to financial institutions and websites. Real-time market data on NYSE Euronext’s markets is disseminated through various distribution channels.

To learn more and select the right solution to suit your situation, please contact NYSE Euronext Data Solutions’ Sales & Account Management.

Instruments Covered
Futures

Markets Covered
NYSE Liffe U.S.

  • Access Fee

    $300 / mo.

  • Internal Usage Fee

    $1 / mo.

  • External Usage Fee

    $1 / mo.

  • $200 Maximum user fees per firm
    $2,500 Maximum external redistribution fee
    Access fees will be effective July 1, 2009
    User fees will be effective January 1, 2010
    Market data fees will not apply to trading members using the Liffe Connect(R) API
How to get the NYSE Liffe Precious Metals datafeed
All customers and vendors who wish to receive the NYSE Liffe Precious Metals datafeed should contact their NYSE Account Manager or submit a request on nyxdata.com.

The following documentation may be required:

Real-Time Exhibit A

Three copies of the Vendor Agreement (If you have not already submitted a Vendor agreement)
Network Diagram Overview
Screen prints demonstrating the use and/or display of NYSE Liffe Precious Metals  data
An NYSE Liffe Precious Metals data feed request submitted by your vendor to NYSE on your behalf
Included Data
The NYSE Liffe U.S. BBO1 includes both last sales and best bid/offer data.
The NYSE Liffe U.S. Full Order Book (FOB) includes both last sales and order book data.
NYSE Liffe U.S. Open Interest gives a measure of the liquidity of the contract, along with information about the contract terms.
NYSE Liffe U.S. Reference Data includes the reference data for each future, option, and strategy listed on NYSE Liffe U.S.. The data includes symbol, commodity, and exchange information and all of the other pertinent information about the contract terms.
Frequently Asked Questions
  • If you are a feed handler developer please direct your questions through your WIM account.
  • What will be the trading schedule be for NYSE Liffe?
    There will be no change to the existing trading schedule. This is specified in section 4.1 of the datafeed specifications.
  • What Product Codes will be used for NYSE Liffe metals?
    Product Codes will be as follows: Gold Futures – ZG Gold Options - OZG Mini-Gold Futures - YG Silver Futures – ZI Silver Options – OZI Mini-Silver Futures – YI
  • Will a single packet contain messages for multiple symbols?
    Yes, a packet may contain messages relating to multiple symbols. This is to minimise bandwidth consumption on the data feed.
  • What sequence numbers should be used?
    The Packet Sequence Number (PSN) in the packet header is the primary sequence number, and should be used to seqeunce packets and detect dropped packets. It is contiguous (increasing by 1) and unique to a single service. Data is sent on a pair of parallel multicast streams; sequence numbers are the same on both streams.
  • Will data be FAST compressed?
    No, FAST compression will not be used for NYSE Liffe.
  • Is there a maximum number of messages per packet?
    No. However a packet has a maximum of 1400 bytes.
  • How are futures/options identified on the NYSE Liffe datafeed (Security ID)?
    All NYSE Liffe instruments are identified by a single and unique 15-character AMR code. This will be sent in the 521 message (for futures/options) or 531 message (for strategies). In these messages, the NoSecurityIDs will always be set to 1 and the SecurityIDSource field will always be set to 8 (for AMR code). The AMR code will never be re-used for other instruments, and will be constant for the lifetime of the instrument.
  • How are the high/low fields updated?
    High and low fields are updated by Conventional, Guaranteed Cross and Strategy Leg trades. They are not updated by other trade types, or bids/asks.
  • Do you have the ability to disseminate late/out of seqeunce trades?
    No. Trades will not be sent out of sequence.
  • Do you expect to offer the same line of spreads that we see today?
    Yes. There will no change to the range of spreads and other strategies that are offered today.
  • How are prices formatted on the NYSE Liffe data feed?
    All price fields are sent in "ticks" instead of actual prices. To determine the actual price, the user needs to apply a Price Format Code as supplied by the exchange. The Price Format Codes for the metals contracts are as follows: Gold Futures (ZG) – ‘O’ (Tenths) Gold Options (OZG) – ‘O’ (Tenths) Mini-Gold Futures (YG) – ‘O’ (Tenths) Silver Futures (ZI) – ‘P’ (Ten Hundredths) Silver Options (OZI) – ‘P’ (Ten Hundredths) Mini-Silver Options (YI) – ‘P’ (Ten Hundredths)
  • How are changes in market mode (pre-open/open/close etc.) disseminated on the feed?
    The Market Status message (751) provides notification of changes in market mode. The message may be sent at one of three levels: product level (e.g. all Gold futures), expiry level (e.g. all Silver options expiring in Dec 2009) or AMR level (e.g. Mar 2010 Silver future). The SecurityIDSource field determines which level is used. In typical operation, changes will be done at a product level. For example, a Market Status message will be sent at 7:16pm for Gold Futures to indicate the start of the Open period. However, provision should be made in user applications for exceptional market mode changes at expiry and AMR levels.
  • How are exercise (strike) prices disseminated/formatted?
    Exercise prices are sent out in number of ticks of the underlying entity. In order to derive the actual value of the exercise price, the user needs to obtain the Exercise Price Decimal Locator and Exercise Price Denominator from the standing data file (via FTP), calculate the "points" and "ticks" parts of the price and then apply a formula as follows: Points = Exercise Price DIV (10^Exercise Price Decimal Locator) Ticks = Exercise Price MOD (10^Exercise Price Decimal Locator) Actual strike price = Points + (Ticks/Exercise Price Denominator)
  • Which Update Types should I process in the Settlement Prices (711) message?
    Provisional settlement prices will NOT be sent (Update Types 1, 3, 5, 7, 9). The Official Daily (Update Type 2) should be used for margining and settlement. The Official Market Close (Update Type 4) should be used as the close price.
  • Will heartbeats on multicast channels be sent throughout the day or only in periods of inactivity?
    Heartbeats will only be sent when there are no other messages being sent on the multicast channel, i.e. during periods of market inactivity. The frequency of update is 30 seconds.