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Data Product Update: Regional BBO By Exchange Deprecated

Wednesday, September 28, 2022

Effective September 28th, 2022, regional Top-of-book quotes by exchange will no longer be supported on new historical and/or subscription orders of Option Quotes and Option Trades.  To maintain file formats, the headers will not change and the fields will be populated with a zero (0) or be empty.

 

For Subscription customers prior to September 28th, 2022:

  • Option Quotes:
    • If your Options Intervals subscription started before July 10, 2020 and filenames start with UnderlyingOptionsIntervalsQuotes_,  the number_of_exchanges field values will be populated with a zero value.  The regional BBO data is split among up to 75 columns {exchange, bid_size, bid, ask_size, ask}[number_of_exchanges] to the right will be empty and no longer populated effective October 31, 2022.
    • If your Options Intervals format (new orders since 7/10/2020) provides regional BBO data in a single level2 field, level2 will not be populated and will be empty effective October 31, 2022.
    • Please find the latest layout document:  Option Quotes Layout
  • Option Trades:
    • The number_of_exchanges field values will be populated with a zero value.  The regional BBO data is split among up to 75 columns {exchange, bid_size, bid, ask_size, ask}[number_of_exchanges] to the right will be empty and no longer populated effective October 31, 2022.
    • Please find the latest layout document:  Option Trades Layout

 

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