Beginning with the NYSE LRP feed, we have modified our PDP format for new products based on customer feedback to deliver messages with lower latency and a smaller message size. Below is a short list of the changes, if you have any other questions please contact the NYSE Data Products team.
Changes to the PDP Format:
1. The message header has been modified to be more compact and contains only the necessary information. I.E The Version field has been removed.
2. Symbol format has been changed to have null padding instead of spaces.
For example, if a symbol’s root is “ABC” and its suffix is “PRA”, the symbol’s root/suffix will be represented as: “ABC PRA\0\0\0\0\0\0\0\0\0”. Between the root and the suffix there will be one space. After the suffix, null values follow to fill the 16 characters allocated for the stock symbol field.
3. The price field no longer uses a denominator field. Instead the denominator field has been replaced by a PriceScaleCode field representing a power of 10. For example, a price of 27.56 is represented by a Numerator of 2756 and a PriceScaleCode equals to 2.
4. Customers will be able to request refresh messages to obtain the latest quote value (product specific)
5. ASCII string fields are left aligned and null padded
6. Heartbeat response messages have been added to the NYSE Best Quotes datafeed. |