ICE Consolidated Feed
Aggregated content from 600+ global sources
- Continuous Evaluated Pricing (CEP) for fixed income covering 2.5 million bonds*
- Derivatives data, including curves and volatility surfaces across commodities, FX and interest rates**
- CDS data on Single Names, Indices, Sovereigns, CDS Tranches
- Composite bond pricing on actively quoted government, corporate and convertible bonds
- 300+ exchanges and MTFs
- Leading equities and derivatives exchanges globally
- Full order book data (level 2)
- New markets regularly added
- Top global index providers’ price levels and constituents
- Cross-asset contributed OTC data
- Leading FX pricing
- Benchmark fixings and risk-free reference rates
- Contributions from the major inter-dealer brokers
- Globally sourced full level 1 & 2 crypto data
Securing streaming data access in all
market conditions
As data volumes proliferate, companies seek new ways to consume information reliably
Configurable Content Output Profiles
Optimize service and control downstream bandwidth to applications:
Dynamic Conflation | Support for both intervalized and trade safe conflation. Configure conflation rates down to the instrument level and enable dynamically by each application with no backend configuration. |
Field Filtering | Allows applications to state the “subset of tokens/fields” that are of interest, to optimize bandwidth and CPU resources. |
Compression | Can be enabled on the wire to further optimize bandwidth use. |
Instrument Discovery/Alternative Symbology
Capabilities to aid with instrument discovery:
Proprietary Symbology | A highly normalized identifier based on exchange tickers, allowing for easy instrument discovery for clients familiar with local exchange tickers. |
Alternative Symbology | Subscribe with popular identifiers including ISIN, SEDOL, CUSIP and FIGI -- allowing for easy instrument discovery for clients dependent on non-exchange identifiers. |
Customizable Access & Integration Options
Access and integration options ranging from custom applications to integration into third-party environments:
APIs | A suite of APIs (C++, Java and .Net) to allow optimized and flexible access. Example programs and a dedicated trial environment are also available to allow for rapid development and integration. |
Connectivity from all major cloud providers globally. This solution extends the ICE Global Network through high-capacity, resilient regional on-ramps. | |
Shared Farms | Connectivity through either a dedicated infrastructure solution tailored to clients’ needs or via Shared Farms. Shared Farms offer a “managed” experience using ICE hosted and managed resilient, multi-tenant environments. |
Using the RTDS adapter, the feed can connect as a third-party feed to an existing RTDS environment. |
Content Capabilities
Several advanced content capabilities to support reference and trading use cases:
ETD Chaining | Subscribe or query reference data for Exchange Traded Derivatives (ETD) by product root, based on local exchange product codes. This gives clients a targeted instrument discovery and subscription tool, allowing them to focus subscriptions on desired watchlists. |
Futures Continuous Symbols | Exchange traded futures curves ordered by expiration. The feeds also support continuous symbols, allowing clients to subscribe to the front month of a curve without having to specify a specific expiration date. |
Strategy Leg Data | The feed provides superior strategy leg reference data. Typical data fields include leg count sides, ratios and reference to underlying securities. |
T0 Corporate Actions | Corporate action events are processed at T0, before the start of local market opens, this includes the timely addition of instrument adds (including IPOs), modifies and delistings. |
L2 MBO > MBP | For exchanges which present market depth in market-by-order format, the feed performs optional depth aggregation on the edge device to present the data in an easier to consume and display market-by-price format. |
Flexible Requests
Advanced, flexible request capabilities:
Wildcards/Regular Expressions | With a single request, subscriptions can be made for entire markets. In addition, regular expressions can be made across single or multiple market(s) using proprietary or alternative symbology. |
On-demand security master | A request can be made for the “non-pricing data” associated with an instrument or set of instruments. The response will include the contents of the security master, including ISIN, SEDOL, CUSIP, BBG identifiers and MIC Code. |
Normalized Presentation
Data normalization functionality allows for seamless application programming:
Symbology | The ICE Consolidated Feed's proprietary symbology is an easy to consume, human-readable identifier based on exchange tickers. |
Reference Data | Several reference data fields are presented in consistent format with popular fields such as Instrument Types, Marketplace Codes and Instrument Names available in both ICE proprietary and native exchange format. |
Market Phases & Instrument Status | Covering both individual instrument status (normal/halted/suspended) and market phase (auction/continuous/etc.), the ICE Consolidated Feed presents status as a globally consistent set of values, while also maintaining a separate set of fields with native exchange values. |
Timestamps | Carries both native exchange timestamps in their original time zone and granularity and ICE system timestamps in UTC, giving clients flexibility and choice. |
Case Studies
ICE CONSOLIDATED FEED & ON-DEMAND BARS
Powering a Premier Electronic Trading Platform
A broker-neutral electronic trading provider whose application provides users with access to global market data, news, charts and analytics, engaged with ICE to integrate the ICE Consolidated Feed and the ICE DataVault On-Demand Bars solution.
ICE CONSOLIDATED FEED
Tier 1 Client Enterprise Integration
Tier 1 sell-side institution integrates the ICE Consolidated Feed into Refinitiv’s Real-Time Distribution System, powering their enterprise applications with ICE’s broad, real-time data sets, which helps them remain competitive in a dynamic environment.
ICE DATAVAULT
Enterprise Integration of Historical Data
A large North American investment bank wanted to streamline their historical data from fragmented, department-based data repositories to a centralized data warehouse that supports their core business needs globally.
Related Insights
Data standards and global identifiers update
Hosted by Data Management Insight
Data standards and global identifiers are the international language of capital markets – but how widely have they been adopted, how useful are they in practice, and can they stand the test of sustaining stable markets? We joined Data Management Insight to discuss.
Optimize your algo trading models: Tick data best practices
As the financial world seeks to optimize proprietary pricing and trading strategies, the huge volume of tick data demands models that can deal with multi-asset class data and incorporate ancillary data for insights and risk profiling in real-time.
We recently discussed the different approaches to optimizing your algo trade models using real-time & historical data analytics with KX.