Feed Update Announcement: Chi-X EUROPE

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Launched in 2007 in response to market demand for a faster, cheaper, and smarter alternative to exchanges, Chi-X Europe continues to reduce latency and increase system capacity, maintains a consistent, low-cost price structure and strives to introduce new markets, instruments and products for Participants.

The Chi-X CHIXmd Feed is the vendor level data feed of Instinet Chi-X Limited, the first order driven Pan European ATS. It disseminates information about orders and executions on Chi-X in real time. The feed is a series of sequenced and unsequenced variable length messages. The messages themselves are encoded in printable ASCII bytes.

The Chi-X CHIXMD market data feed is built on a simple session layer on top of TCP/IP sockets. The session consists of a series of unsequenced and sequenced messages. The unsequenced messages provide the session level interface that is not part of the market data feed such as login, logout, and heartbeats. The sequenced messages contain the actual market data and are reliable, recoverable and replayable. The actual market data includes - System Event Message, Add Order Message, Order Execution Message, Order Cancel Message, Trade Message, and Broken Trade Message.

The latest specification is (click "download" for Chi-X Market Data Feed):
http://www.chi-x.com/document-library-sub-sections/technical-specifications-and-agreements.asp