ICE Direct Access

The B2BITS direct access offering for ICE Exchange includes the software with low latency market data handler, order entry and trade capture via FIX. Customers can use this software to quickly become a direct access user at ICE and trade in a single digit microsecond range.

ICE iMpact Handler

EPAM B2BITS ICE iMpact Handler is a C++ library that helps feed ICE market data directly into the user's algo-trading application. The library is intended to work in an ICE Exchange co-location environment with direct access to UDP Multicast and has the following features:

• Listens to TOP5, TOB and Full Order Depth channels of the ICE UDP iMpact Multicast interface
• Supports Direct Access User (DAU) required functionality of the ICE Exchange
• Supports all ICE instrument types including Futures, Cracks and Intermarket Spreads, Options, UDS
• BBO conflation
• Per-instrument subscriptions as well as 'ticker-plant' mode for all-instrument subscription
• Built-in price book
• Low-latency design optimized for modern multi-core processors
• Ready for use with OS kernel bypass NIC cards: Solarflare™ OpenOnload and Myricom DBL™
• 400 ns mean latency from network socket read to user callback
• 6 microsecond wire-to-wire tick-to-trade latency when used together with B2BITS FIX Antenna® to support the order entry session
• Windows and Linux OS supported

Installation Package Includes:

• EPAM B2BITS ICE iMpact Handler C++ library
• Getting started console application with simple instrument subscription
• Sample GUI Trading Terminal with market data and order blotter
• Low latency trading application example (requires FIX Antenna® library)
• Tick2trade test harness using PCAP input
• UDP tools for data capture and replay at different speeds
• Utility to produce the audit trail output according to ICE Futures U.S. Electronic Audit Trail Requirements
• FIX Antenna® package is ordered separately

ICE Order Entry

FIX Antenna® library provides a low-latency FIX order entry interface allowing direct connection to ICE FIX Order Entry and has the following features:

• Connects and maintains connection to the ICE FIX Order Entry Interface via TCP/IP
• Fully supports ICE FIX Order Entry Interface workflow
• Supports ICE FIX 4.2. dictionary
• Supplied as a library (.dll/.so) with a user-friendly and intuitive ANSI C++ / .NET / Java public interface or as a standalone application
• High performance/Low latency:  in C++ implementation deliveries over 350,000 messages per second on a single CPU and adds up to 0.7 microseconds' latency on 10 Gbps network without persistence and 1 microseconds' latency with persistence.
• Equipped with rich, UI simplifying configuration and maintenance, as well as allowing monitoring session statuses and parameters in real time on desktop app or web browser.

ICE Trade Capture

FIX Trade Capture solution (FIXTCap) is designed to receive trade notifications and supports all ICE Trade Capture specifics to simplify the process of capturing trades. 

• Fully automated process of capturing trades with all connectivity specifics completely encapsulated and hidden from the client
• Subscription mechanism used in the Trade Capture solution is equipped with all filters defined by ICE Trade Capture to make trade capturing process as flexible as possible
• Supports a request for historical trades for a given set of markets and time windows
• Recovery tool to prevent trade loss in case of failure
• FIXEdge features inheritance, allowing seamless integration with the internal client's systems via ODBC, TIB, MQ, JMS and other middleware. 

ICE Private Order Feed

FIX Antenna® library provides a low-latency FIX interface, allowing direct connection to the ICE FIX Private Order Feed (POF) and has the following features:

• Connects and maintains connection to the ICE FIX POF Interface via TCP/IP
• Fully supports the ICE FIX POF Interface workflow features including:
  • Models available for both trading and clearing firms
  • Notifications of all order actions and events
  • Order cancellation and mass cancellation<
  • Security definitions and RFQ messages
  • Ability to historically retrieve data from an active trading session
• Supports ICE FIX 4.2. dictionary
• Supplied as a library (.dll/.so) with a user-friendly and intuitive ANSI C++ / .NET / Java public interface or as a standalone application
• High performance/Low latency
• Equipped with rich, UI simplifying configuration and maintenance, as well as allowing monitoring session statuses and parameters in real time on desktop app or web browser.