CBOT makes protocol and ticker changes

The Chicago Board of Trade’s (CBOT) new quote vendor network (QVN) has prompted an overhaul of how the exchange distributes data from Dow Jones Indexes (DJI) as well as changes to CBOT’s ticker plant, reports RiskNews' sister publication, Inside Market Data .

CBOT is the exclusive distributor of DJI’s index composition and prices to data vendors. Before migrating to the IP-based QVN at the start of this year, CBOT used serial point-to-point lines and multiplex channels, says Maggie Spanton, director of technical services at CMS Webview, which provides TDI, CBOT’s ticker plant. "CBOT had to restrict the amount of bandwidth it allocated to Dow Jones and sometimes had to throttle delivery," says Spanton.

Last year’s move to TDI allowed CBOT to process the higher volumes of data that are enabled by the new network. For example, CBOT can broadcast all its and DJI’s data to vendors via user datagram protocol multicast, Spanton says.

DJI will send its data to CBOT via IP rather than in X25 serial format, adds Steve Dickey, vice-president of market data products and information at the exchange.

CBOT and DJI are also changing the distribution protocol for the dissemination of DJI’s index data. Originally, DJI data only had two message types: intra-day messages detailing any movements or changes to the indexes and a daily summary message. In 2001, CBOT split those into six shorter message types to save bandwidth. But with the introduction of the QVN from Radianz, "we don’t have a bandwidth issue anymore", says Jim Sloan, director of indexes technology at DJI.

"Part of the project is bypassing [CBOT’s] input feed handlers... and replacing them with CMS’ software," Sloan says. "The piece of code CBOT developed that converted the two messages into six is being retired and replaced with the CMS solution, which will receive the messages direct."

Vendors have been notified of the changes, which also include the introduction of ISIN numbers in addition to DJI’s own identifiers. They have a 30-day test period, followed by a further 30 days in which the new and old distribution models will run in parallel. But Sloan says DJI will not use the increased bandwidth to drastically expand the data it distributes via CBOT. "Content will [only] increase as it does today when we launch new indexes," which he says total about 20 a year.

CMS had to make some changes to the TDI technology to assign priorities to the eight different primary and backup feeds from DJI to ensure that it recognises markers assigned by DJI to the preferred feed, Spanton says. The software changes are delivered via the Internet and physically installed by CBOT. Subsequent releases of TDI will be able to deploy their own updates, Spanton says.

The changes also required extra hardware to be deployed at CBOT. However, "it runs on basic PC hardware, so that’s very cheap", she says.