OpenBook Ultra is offered as part of the NYSE OpenBook suite:    NYSE OpenBook        
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   OpenBook Ultra   (Order by Order)

NYSE OpenBook Ultra is a new, improved value-added version of the current NYSE OpenBook Realtime. It further improves accessibility to the NYSE market through improved performance and additional content and functionality. NYSE OpenBook Ultra was developed with the help of customers to create a best-of-breed product. NYSE OpenBook Ultra will be provided as an optional alternative to recipients of NYSE OpenBook Realtime.

Better Speed. With microsecond latency, NYSE OpenBook Ultra updates with every limit-order book event(unlike NYSE OpenBook Real-time which updates every second). Microsecond resolution and internal matching engine timestamps provide comprehensive latency visibility to customers.

Faster Recovery. The new, innovative, “self-healing” format provides updates for each change and the current state of the book, allowing you to recover quickly and easily from any missed messages.

More Content. NYSE OpenBook Ultra contains all customer limit order interest including the fl oor and specialist interest, as well as unique information that other markets don’t provide. Reason codes provide details about why something has changed. Transaction LinkIDs link removed interest to tape prints, number of orders are provided at each price point, and microsecond timestamps. More detailed, microsecond resolution on time stamps helps line up millisecond trading. NYSE BestQuotes is also included as part of the package which provides a direct, low latency source of quotes that includes Top of Book, Specialist and Crowd Interest.

Instruments Covered
Equities

Markets Covered
NYSE
Access Fee $5000

This montly access fee applies to both direct and indirect customers.
 
Display Fee $60 per device

This fee applies to any display of NYSE OpenBook Real-Time received directly from NYSE or via an approved NYSE OpenBook vendor. Additional fees may be charged by the vendor.
 
Product Comparison
Functionality / Content OpenBook RT ArcaBook OpenBook Ultra
Order-Driven Updates x x
Real-Time Delivery
 x x x
Multicast Delivery x x x
Retransmission Capability x x x
<3ms performance to SFTI x x x
Optimized Format Ver 3.0 x x
Fast Compacted feed x
Symbol Index Mapping x x
Self Healing Message Format x x
Aggregate Quantity at each price point x x
Change Quantity at each price point x x
Event Reason code x
Number of orders at each side of the price x
Transaction LinkID x
Microsecond Timestamps x
Source Timestamps x
  
Included Data
Authorized Vendors
Goldman Sachs
Website
REDIPlus®
 website
Goldman Sachs Electronic Trading clients who utilize the REDIPlus execution management system to trade US Equities can view NYSE Ultra market data through the Montage Monitor. Additionally, REDIPlus users can view NYSE imbalances in the Message Monitor by adding a special field to the window. For more information please email gset-news@gs.com or visit www.gs.com/electronictrading
Product News
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Discussion
Frequently Asked Questions
  • How do I get access to NYSE OpenBook Ultra?
    Existing OpenBook Real-Time Datafeed customers are already entitled for access to Ultra. Just simply start listening to the multicast groups specified in the spec. Non-OpenBook datafeed customers who would like to have access or test with the new feed should contact their NYSE Market Data Account Manager for access.

  • Can the book be locked and crossed?
    a) Yes, the book may very well be locked and crossed until the stock is opened by the specialist Opening time is typically 9:30 AM but some stocks may open late due to news pending or equipment failure , etc type of opening delays (if you subscribe to the Alerts feed, you should see opening delay alerts for the stock) b) When the book opens, it should unlock/uncross within seconds However, in some rare conditions, it may take a few minutes ( depends on certain type of quotes and required specialist activity ) c) During the day the book may lock/cross for a few seconds (upto a minute) when the book switches from auto-exec to manual ( when an LRP is hit. If you subscribe to the LRP feed, you will have knowledge of what the LRP was around that time and compare that against prices in Ultra to get a sense of this) d) If the book is locked/crossed for more than 1 minute then we would have to take a case-by-case approach to determine whether it was a valid situation or whether there was an issue with the feed.

  • How do I get the symbol index mapping?
    The symbol mapping is available via four methods:
    (1) NYSE OpenBook Ultra Full Update Message which is distributed at the start of day with the volume at every price point. This message is required to process OpenBook delta messages.
    (2) Symbol Update Request
    (3) A refresh request which will provide you with a full update message upon request
    (4) via FTP on ftp.nysedata.com. Path is SymbolMap.xml

  • Is OpenBook Ultra a replacement to OpenBook Real-time?
    No, OpenBook Ultra is a separate product that will run in parallel to OpenBook Real-Time. There are no plans to decommission OpenBook Real-Time at the moment.

  • Can I send my symbol index or refresh requests to any channel or does it need to be to specific the channel Symbol letter range?
    When requesting a Symbol index Mapping or refresh request, you need to send to the request to symbols corresponding channel. I.E symbol ABC to Channel AA, BBB to Channel BB otherwise your request will not be honored.

  • Is OpenBook Ultra or OpenBook Real-time delayed in any way?
    No, both products reflect real-time information. OpenBook Real-time is refreshed every second and is most useful for display applications. OpenBook Ultra is built with high frequency, low-latency, computer-generated trading in mind so messages are sent as an event (new interest, execution, cancel,etc) occurs on the specialist book.

  • What are the change reason codes?
    The change reason codes are included in every message to describe what event occurred in OpenBook Ultra. The reasons types are as follows:
    ‘O’ - New order/additional interest added
    ‘C’ - Cancel
    ‘E’- Execution
    ‘X’ - Multiple events

  • Can I send my symbol index or refresh requests to any channel or does it need to be to specific the channel Symbol letter range?
    When requesting a Symbol index Mapping or refresh request, you need to send to the request to symbols corresponding channel. I.E symbol ABC to Channel AA, BBB to Channel BB otherwise your request will not be honored.

  • Available over TCP/IP or Multicast?
    NYSE OpenBook Ultra production, testing and retransmission data is available over multicast only. Retransmission Requests are sent by customers via TCP/IP. In the latter half of 2008, Retransmission will be available via TCP/IP

  • Are the primary and secondary feeds syncronized?
    Yes, the primary and secondary multicast feeds are synchronized so that the data and sequence numbers are identical