Market Data Products
The BATS Exchanges (BZX Exchange and BYX Exchange) provide a robust offering of free market data feeds and several value-added market data options to suit Members’ diverse needs. If not otherwise noted, market data and ports are coordinated by contacting the BATS Trade Desk at 913.815.7001 or tradedesk@batstrading.com.
Please refer to the Connectivity Manual's bandwidth chapter for bandwidth recommendations for each data feed.
Free Market Data Feeds
Multicast Latency Feed
(Order-To-Quote Latency)
Monitor Matching Engine unit level performance statistics with the Multicast Latency Feed. This feed supports a single message type used to present a variety of metrics for key measurements. This feed measures Order-to-Quote latency which represents the elapsed time from when an order enters the BATS network to the time that same order appears on the BATS Multicast PITCH feed.
Multicast PITCH
(Depth of Book)
Multicast PITCH provides real-time depth of book quotations and execution information with nearly half the latency of TCP PITCH and 20% fewer PITCH events. This is achieved by using binary messages (PITCH 2.0). BATS offers a WAN-shaped and Gig-shaped version of the Multicast feed, both available from BATS’ primary datacenter. Members may choose one or more of the four Multicast PITCH feed options depending on their location and connectivity to BATS.
TCP PITCH
(Depth of Book)
BATS' TCP PITCH data feed offers uncompressed depth of book quotations and execution information using ASCII messaging (PITCH 1.0).
TOP
(Top of Book)
BATS' TOP market data feed offers up to a 66% reduction in events and an 84% reduction in bandwidth compared to BATS' standard TCP PITCH market data feed using ASCII messaging (PITCH 1.0). By only showing top of book quotes and trades, TOP offers a significant reduction in required bandwidth and processing. TOP does not send depth of book information and does not show hidden or routed orders.
DROP
(Member Trading Activity)
BATS' DROP data feed is typically used by clearing firms or Members to monitor trading activity. DROP sessions can be used to obtain execution information about single or multiple Members with proper authorization.
European Market Data
U.S.-based companies can receive real-time European market data via a local BATS Europe TCP PITCH feed, which saves significant Trans-Atlantic connectivity costs.
Value-Added Market Data
Last Sale Feed
(Matched Trades Only)
Last Sale is ideal for market data distributors. It is a real-time, intraday TCP feed that disseminates matched trade price, volume and execution time on BATS book. Because quotes are not shown, Last Sale results in much less data than other feeds and requires less technology development for users.
Historical Data
(PITCH / TOP / Last Sale)
Use the Historical Data of the PITCH, TOP and Last Sale data feeds on a T+1 basis.
Up to three months of data is available via download from the BATS Web site. Additional data beyond three months will be uploaded onto a BATS-provided terabyte drive. There is a single fee per drive no matter how much data is placed on the drive.
How To Subscribe
A BATS account is required in order to sign up for Historical Data (PITCH, TOP, and Last Sale data). All BATS subscribers wishing to create a login account should contact the Trade Desk (+1.913.815.7001).
