ActiveTick Live Support
Streaming Services
For real-time streaming quotes, ActiveTick Market Data API offers a unique streaming services solution.

ActiveTick co-locates its ticker plant servers in the same datacenters used by exchanges where the data is originated, resulting in superb low-latency connectivity to multicast distribution points.

Using high-performance servers and in-house built software, the data is processed and shipped to each ActiveTick customer via the Internet with minimum latency. On average, processing several million messages per second inside ActiveTick ticker plant, adds only 10 to 20 microseconds before data is sent out.

Distribution of streaming data to customers via Internet is accomplished from three geographically distributed datacenters, located in Chicago IL, St. Louis MO, and Fremont CA. Connecting to closest datacenter assures that the quality of the data stream is not compromised because of customers’ geographic locations.
Functionality
Market Data API uses subscription-based model to receive streaming updates. To start receiving streaming data updates, a subscription request for symbol, or list of symbols, must be made via API to register symbols of interest on the server. Once a session has active subscriptions on the server, each time update is sent from exchange, it gets forwarded to each active subscriber. In turn, the API invokes supplied application callback with new update information.

The API uses unique approach to lower streaming bandwidth utilization footprint. Rather than sending entire contents of each market update to end user, server and API collaborate to figure out which data fields within each update have changed, and only send the changes. On receiving side, Market Data API is able to uncompress and reconstruct the data, and provide entire market update to the user, hiding the whole process from the view. The resulting compression saves on average 75 to 80% of bandwidth traffic between server and receiving API user.
Data Contents
Data stream primarily consists of two message types, trade message and quote message. Trade message represents trade transactions, and is used to indicate trading price for an instrument. Quote message on the other hand, represents order flow interest, similar to bidding or offering a limit order.

The following elements comprise both messages:

Quote message
Symbol
Conditions
Bid exchange
Bid price
Bid size
Ask exchange
Ask price
Ask size
Time
Trade message
Symbol
Flags
Conditions
Exchange
Price
Size
Time
 
 

All messages contain original timestamps from exchanges, and have granularity to within a millisecond.

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