DDFplus Overview

September 1, 2017 - Download as .txt file

ddfplus is a broadcast datafeed covering all North American commodities and equities exchanges. Delivery is by dedicated T1 circuit, frame relay, or Internet in a realtime or delayed format.

The data elements transmitted are opening range, high, low, last, closing range, and settlement. Best bid and size, best offer and size, trade volume and open interest are included as they are reported by the exchanges.

All exchange generated live quote messages (bid, ask, trade, size, etc.) will be relayed on ddfplus as live quotes with a record type 2, Sub-Record 0, 5, 6, 7, 8, or A message.

All exchange generated refresh messages are relayed as a record type 2, Sub-Record 1 message, even in cases where none of the data elements are changed.

Quote elements that are altered, but not reported directly by incoming exchange messages, (bids making new highs, etc.) are inserted into the data stream as record type 2, Sub-Record 2 messages.

ddfplus will generate background refresh messages independently as record type 2 Sub-Record 3 and 4 messages and insert them into the data stream on a bandwidth available basis. Each symbol with a last price greater than zero will be reported at least once every hour.

ddfplus will process special format, non quote content as record type 3. Examples of these message types are Market Depth, and end-of-day recap messages.

Futures spread messages are bring transmitted as record type S.

Most ddfplus messages are complete, containing all information necessary for processing. There is no need to keep look up tables for options strikes or base codes. File access requests and user processing logic is reduced to an absolute minimum, and will speed up throughput accordingly. The user can map each quote element directly into the database without considering the idiosyncratic rules of processing required by each exchange.

New futures and options contracts are transmitted on the first report of listing by the exchange, there is no wait for overnight processing to update a database to include these items. Symbols are not altered to identify different trading sessions. Expired contracts are not transmitted, enabling the user to create accurate weekly and monthly nearest futures data without the need to maintain a list of expiration dates for purging unwanted data.

Session timing and synchronization messages and the use of pseudo exchanges are eliminated, the exchange day and session is clearly identified in each message. This ensures that in the event of your ticker plant going down for loss of power or any reason, you will be sure of having a complete current database within one hour of restart.