Orion Market Data Platform - Derivatives Market (OMD-D)

It is not compulsory for Exchange Participants to receive market data from OMD.  Exchange Participants may choose to receive market data directly from OMD or indirectly via information vendors.

HKEX derivatives market data, including futures and options data, are not available in MMDH currently.  Subject to market demand, adding derivatives market data in MMDH may be considered in the future.

In order to achieve matching efficiency and optimal performance of the trading system, the capacity of the trading system will be dedicated to the functions of matching engine whereas market data systems will take up the functions of market data distribution and this enables the Exchange to develop a wide range of market data feed products to meet the diversified needs of the market participants.  EPs are hence advised to receive market data from OMD. 

Single product feed will limit the development of low latency feed as huge data volume may increase the bandwidth requirement and hence social cost to the market.  Different product feeds will offer choice to the customers on market data latency, content as well as bandwidth requirements.

FullTick feed is positioned to provide low latency data to the customers for building their order books.  Only the core market data, i.e. orders and trades, will be carried to guarantee the performance of the feed.  Clients who would like to receive the official statistics may wish to subscribe to Lite, Standard or Premium feed.

It is a prudent approach of not disseminating the individual order information during the auction session to avoid any possible market manipulation during the price discovery process.

OMD Derivatives FullTick is positioned as a market-by-order feed providing individual orders and trade information only.  Aggregate market depth (or market by price) information on conflation mode will be carried by OMD Derivatives Standard (DS) and Derivatives Lite (D-Lite).  Should clients wish to obtain market by price information on a streaming basis, they may consider subscribing to OMD Derivatives Premium (DP).

Please refer to Appendix A of OMD Interface Specifications for Securities Market & Index Datafeed Products to have complete indices list of OMD Index Feed.

OMD does not support recovery of all trade tickers for a given trading day.  Client can however receive the latest market snapshot from the refresh server which facilitates intraday startup or customer side outages.  For the interest of those customers who may wish to recover every tick for a given trading day, the corresponding end of day trade data product is available for customer subscription or purchase on an as-needed basis.

Both the minimum tick size and contract size are static information which is defined in the contract specifications from day one and unlikely to change in the life of the contracts.  However, OMD-D provides the contract size information in view of the arrangement for capital actions where the contract size may be adjusted together with the strike price.  Other static information such as the minimum tick size is not available in the OMD-D at present. Clients may wish to refer to the contract specification of each derivatives product on HKEX website for such information.

Clients could only receive data of the market which their program subscribes to since the host IPs for SOM and Non-SOM are different.

If the data is only for internal use, clients should apply End-user Licence.  Market Data Vendor Licence should be applied instead if clients would like to redistribute the data to their customers.  Different licence fees and connection fees are applied to different OMD-D datafeed product and usage purpose.  Clients can visit HKEX website for details on the charges for the OMD-D datafeeds.

Any data with individual order information will be subject to the Subscriber Fee/Individual User Fee of Continuous Access - Full Book, i.e. $300 per unit per month.

If information vendors/licensed end-users subscribe to more than one OMD datafeed products, e.g. DS and DP, the Redistribution Fee/End-User Licence Fee and Connection Fee for the first connection of both of these feeds are payable.  If information vendors/licensed end-users subscribe to more than one set of the same OMD datafeed product, e.g. 2 sets of DP, the following fees will apply:

i. One Redistribution Fee/End-User Licence Fee of DP

ii. One Connection Fee for the first set of standard connection of DP; and

iii. One Connection Fee for an additional set of standard connection of DP.

Yes, information vendor who subscribes DF can provide level 2 data services with applicable fees, e.g. HK$75 per subscriber unit per month, subject to it being 10BBO and without individual order information.

Vendors who wish to redistribute the indexes available in the Index Feed need to get the corresponding licence from the index compilers directly, except for the (i) S&P/HKEX indices; and (ii) prescribed Redistributable Indices supplied by China Securities Index Company Limited which are already covered in the Market Data Vendor Licence Agreement.

One set of OMD standard connection service will include two physical SDNet lines or HSN ports carrying two concurrent multicast data streams.  Clients will only be subject to one set of connection fee if they only subscribe to one set of standard connection service.

A waiver will be offered on the End-User Licence Fee and Connection Fee for first 2 sets standard connection of OMD Derivatives Standard feed for each EP for internal use only and enter into End-User Licence Agreement with us.

In addition, D-Lite EP information vendors who are paying the flat monthly fee of HK$2,000 could also enjoy waiver on Redistribution Fee and Connection Fee for first 2 sets standard connection of OMD Derivatives Standard feed should they wish to provide deeper depth service to their trading clients only.

Yes, additional retransmission Username can be assigned subject to additional set of connection fee.

Due to the multicast nature, we are not able to monitor the test progress and results of clients.  Same as OMD-C, we would have a Readiness Test for OMD-D which aims to facilitate clients’ verification of the technical readiness of their feed handlers for receiving and processing OMD messages.  Clients are required to complete the test cases in the answer book and submit the test results of the answer after completion of the test.

The OMD simulator can run on Linux only.  However, the client’s feed handler can either run on the same or a different machine as the OMD simulator, providing clients the flexibility to develop their feed handlers on a non-Linux platform.

In the OMD-D RT Environment, only canned data is used for conducting OMD-D Readiness Test.  OMD-D HKATS Test Environment is same as the HKATS OAPI Development Environment with OMD-D available to enable OMD-D EPs clients to perform loop test with the HKATS, the HKEX Derivatives Market Trading System.

Yes, you may find an independent software vendors (ISVs) to conduct testing on behalf of you.  Clients could also use software versions provided by ISVs which have already passed the Readiness Test. 

However, please note that this test service only applies to testing in the Readiness Test.  The client has to participate in Market Rehearsal (MR) and Post-Release Test (PRT) itself with its own circuits for connection before it can receive live production market data.

No. Readiness Test will be performed by ISV but MR and PRT will need to be performed by your company being the Market Data Licensee having direct OMD-D connection.

Yes, clients can try to apply for more than one retransmission Username in testing environment subject to our discretion.

OMD-D is a different system from HKATS OAPI.  Please refer to Section 3.7 of OMD-D Interface Specification (available at OMD-D Corner at HKEX website) for the reference data arrangement. OrderBookID is used as the unique identifier for the tradable series, except that it is not available for next day effective series.  The Series Definition Base (303) and Series Definition Extended (304) messages carry the OrderBookID and the symbol name.  Clients can make reference to those fields.

Trade Statistics (360) is provided in Derivatives Standard (DS) and Derivatives Lite (D-Lite) while Series Statistics (363) is provided in Derivatives Premium (DP). The content of both messages are the same except Trade Statistics (360) carries DealSource and AggregateQuantity of the latest deal (which can comprise multiple trades). Alternatively, DP provides information on individual trades, instead of after their consolidation into deals, with Trade (350) and Trade Amendment (356) messages which are separate from the Series Statistics (363).

DS and D-Lite are positioned to carry trade information at deal level (or trade ticker level) which contains the aggregated quantity and the Deal Source (e.g. normal matching) of the latest deal (which can comprise multiple trades) from the trading system.

DP and DF are positioned to provide individual trade information with Trade (350) and Trade Amendment (356) messages which however cannot be mapped with the Deal Source and therefore Deal Source information is not provided via DP and DF.

Line Arbitration: It is the quickest and most efficient means to recover from packet drops due to a single-point glitches on the dual network paths from OMD to the client’s servers. Line Arbitration is a mandatory requirement to all feed providing vendors.

Retransmission: It is the only means to recover lost trade messages as trades are not recoverable through Refresh. For packet loss beyond the protection of line arbitration, retransmission is also the quickest means to recover the lost data from OMD in sub-seconds compared with refresh. Retransmission is a mandatory requirement to all clients, except for End- User Licence clients.

Refresh: It is the service for the client to handle OMD’s DR, clients’ late connection to OMD and significant packet loss by clients. Refresh is a mandatory requirement to all clients

There is no limitation on the number of Logon requests per day but there are limitations on (1) number of retransmission requests in a day; and (2) maximum sequence range requested.  The number of concurrent sessions to a Retransmission server is also restricted to one for each Username. In other words, each Username cannot perform more than one concurrent retransmission session at the same time.  Please refer to the Interface Specifications for the different parameters applicable to retransmission service.

One RTS ID with two unicast IP addresses will be assigned to each set of product feed.  If one set of DP and one set of DF are subscribed, clients will be assigned two RTS IDs with four unicast IP addresses.

Yes, sharing of same pair of production SDNet/2 circuits by more than one OMD datafeed product of different markets (i.e. securities market datafeed and derivatives market datafeed) is allowed.  Clients who adopt the shared line mode should, however, make a thorough assessment of the possible operational risks and complexity in troubleshooting (latency, connectivity, etc) associated with line sharing. Troubleshooting support from us will be limited under line sharing given the increased complexity.

Clients can subscribe both OMD-C and OMD-D  in the same pair of ports via HKEX Hosting Services (HSN).

Yes.  Exchange Participants who would like to share the same pair of SDNet/2 circuits with trading traffic (orders and trades) and market data traffic are only allowed to do so if all the traffic on the circuits belongs to the same market (i.e. either securities market or derivatives market). OMD-Index, which is market neutral, can be carried on the same pair of circuits with securities market or derivatives market.  For example, Exchange Participants of derivatives market may use the same pair of SDNet/2 circuits for their access to OMD-D DP, OMD-Index and HKATS Central Gateways.  Clients who plan to share SDNet/2 circuits should, however, make a thorough technical assessment of the possible operational risks and complexity in troubleshooting (latency, connectivity, etc.) associated with such an approach.  Troubleshooting support from us will be limited under such circuit sharing given the increased complexity.

Unlike SDNet/2, Clients can subscribe both trading traffic and market data traffic across different markets  in the same pair of ports via HKEX Hosting Services (HSN).

No, SDNet/2 circuits cannot be shared between OMD-D testing environment and OMD-D production environment.

The sharing principle for testing environment would be the same as production environment.  Testing lines can be shared across OMD-C and OMD-D for testing purpose only.  Same pair of lines cannot be used for serving both production and testing at the same time.  Therefore, if clients reconfigured the OMD-C testing lines to production mode, they are required to install another set of testing lines for OMD-D .

No.  They use different VLANs.

Clients are not allowed to lease the 2 SDNet lines for the same SDNet connection from 2 different network carriers.  Since different network carriers may have different routing configurations and protocols, mixing different carriers’ SDNet lines in this way may not work.

No.  They use different subnets.

Clients may not be required to cancel the two testing lines but consider requesting their network carrier to reconfigure the two testing lines to our production environment for Market Rehearsal and on-going production connection.