The Interactive Data Consolidated Feed is a state-of-the-art, low-latency data feed product covering global on-exchange and Over-the-Counter (OTC) data across all asset classes. This feed provides development access through Interactive Data Corporation’s application programming interfaces (APIs), Zero Footprint access, and support for connectivity from third-party APIs.
Interactive Data provides a suite of APIs in C/C++, Java, and XML for access to the Interactive Data Consolidated Feed, allowing integration of rich market data content into your application. These APIs allow you to build your custom applications using the same APIs that power the Interactive Data Trading Solutions desktop products, such as the Market-Q, eSignal, FutureSource desktops. They are ideally positioned to power applications and can provide access via regional POPs through internet, leased line or colocation.
The API provides access to the data servers and services within the IDC Consolidated Feed Network. Each data service has a unique set of request functions that can be accessed by the API.
The API is a “publish/subscribe” API that doesn’t require you to consume entire market feeds, but only the data that you need. When you request data from IDC, the IDC data service processes the request and returns responses asynchronously. The API provides event listener interfaces for handling responses and processing data.
In addition, the API allows you to subscribe to streaming data for both Level 1 and Level 2 data. Level 1 data consists of trade, best bid offer (BBO), and the instrument’s reference data. Level 2 data consists of market depth usually presented as either a detailed order book or an aggregate order book. You can subscribe to more than one instrument for streaming data and receive updates for those instruments as they occur. The number of instruments for which you can receive streaming data depends upon your account entitlements and service agreement with IDC.
Client applications that use the API can range from simple ticker displays to complex real-time trading and market analysis platforms. Regardless of the goals which a client application intends to meet, each client application using the API must perform the following main operations:
- Startup Operations
Includes creating connections to data services and setting up event listeners for those services.
- Request and Process Data Operations
Includes a variety of requests known to each of the data services, the handling of response events, and the work required to process the required data within those responses.
- Shutdown Operations
Includes closing all open connections to the data services.
The client application can connect to a variety of services to gather different types of market data. The following is a list of the available services and the type of data they provide.
|Service Type||Data Provided|
|Quote Service||Provides real-time or delayed streaming and snapshot data|
|Tick Service||Provides up to 10 days of intra-day tick data and up to 120 days of bar data*|
|History Service||Provides daily, weekly, and monthly bar data|
|Market Depth Service||Provides real-time NASDAQ Level II, NASDAQ SuperMontage ViewSuite
PowerView, NASDAQ SuperMontage ViewSuite
DepthView, and NASDAQ SuperMontage ViewSuite
TotalView data. Also provides Electronic Communication Network (ECN), and NYSE OpenBook Quotes data.
|News Service||Provides entitlement-based headlines and news stories.|
*Extended tick and intraday bar data are available for a fee. Extended data provides up to 40 days of tick data and years of bar data.