Omega ATS to Reuters Contribution Process
The Omega ATS Market Data Feed is disseminated as a NASDAQ TotalView-ITCH format feed using compressed SoupTCP as the transport.
The Omega feed reader receives ITCH messages via SoupTCP transport from the Omega ATS server and allows multiple clients to receive a sequenced reliable Omega ITCH feed.
Time And Sales Interface
Since the Omega ATS Market Data Feed does not include the price field in Order Execution (Trade) messages, it is necessary to maintain an order book and obtain the trade price from the order referenced in each Order Execution message.
Quotes will be output as the top level of the Omega ATS order book changes (order added, deleted or modified).
Output will be in 'normalized' TL1 feed format which will allow existing products to connect to the Omega ATS Time And Sales interface and process quotes and trades.
As well a 'normalized' TL1 heartbeat message will be generated for those applications that monitor feed integrity.
CMSR will connect to the Omega ATS Time And Sales Interface (above) and extract quotes and trades.
Only configuration changes will need be made to CMSR to support the Omega ATS exchange.
The Omega ATS ticker will connect to the Omega ATS Time And Sales Interface (above) and extract trades.
The Omega ATS Ticker will be based on existing ticker products (Liquidnet, Pure Trading, TRIACT/Match Now).
Since the Omega ATS Market Data Feed is a level 2 product, it can easily be integrated into the existing STOB product.
The Omega ATS STOB product will connect to the Omega ATS Market Data Feed and maintain MBO and MBP views of the full depth of the Omega ATS market book.
Omega ATS STOB will provide a web based interface identical to the existing TSX and TSXV STOB product.
It appears that Omega ATS maintains a single market comparable to the combination of the TSX board lot and odd lot markets, that is there is no concept of a board lot and all orders, irrespective of size, appear in a single market.