After contentious Opra upgrades, vendors brace for a faster future

Last month, long-awaited upgrades to the Options Price Reporting Authority datafeed went live after a spate of delays that began in July of last year. Sources say the three postponements of the go-live date were the result of repeatedly failed capacity tests by a handful of data resellers, who struggled with the bandwidth required of the upgrades.

The improvements entailed Opra expanding data dissemination from a 48-line to a 96-line multicast data distribution network. Opra, which is jointly owned by the 17 US options exchanges, disseminates last sale and quote information for US options markets and is widely used to gauge the current market price for any given options contract. 

Despite the delays, sources say Opra has run smoothly since the February 5 go-live. But they contend that the shoddy preparedness of some recipients in the run-up doesn’t bode well for future updates—which are sure to come not just from Opra, but also from exchanges and other operators of crucial industry datafeeds.

Opra classifies a datafeed recipient as either a “vendor” or a “professional subscriber.” In either case, the recipient must have a contract directly with the pricing authority. Users include banks, data providers, retail trading sites, and participant exchanges—Box Options Exchange, Cboe Global Markets, Members Exchange (MEMX), Miami International Exchange (MIAX), Nasdaq, and New York Stock Exchange.

It’s not a pipe problem; it’s more a software processing problem

Arnaud Derasse, Exegy

According to multiple sources who use Opra, it was the data vendors—of which there are 82 listed on Opra’s website—that were primarily responsible for the repeated delays. WatersTechnology was not able to independently verify which organizations failed the capacity tests, but understands it was more than one of these companies.

In recent years, exchanges have placed increasing pressure on the Securities Industry Automation Corporation (SIAC), the body that administers the Securities Information Processor for Opra, to disseminate data much faster than it has before, according to Steve Sosnick, chief strategist at Interactive Brokers. But a hot options market driven by day trading, new exchanges, and zero-day options has meant exponential increases in the number of contracts traded, and in turn, the amount of market data generated. 

“I think everybody was very afraid of this upgrade,” says Arnaud Derasse, chief product officer at Exegy, which provides low-latency market data and connectivity to financial firms. “And they did some quite nasty capacity testing before the upgrade, back in Q4. I mean, purposefully the capacity test was very hard to meet. It was a lot of data.”

SIAC’s change from a 48-line to a 96-line multicast distribution network is an attempt to spread the burden across more lines at peak trading times while meeting the exchanges’ demands, but it placed significant pressure on firms’ network and data processing infrastructure.

The change affects not the total amount of data traveling through the feed, but the amount of data that can be moved at once, or the feed’s bandwidth. The additional processing capacity marked an increase in bandwidth from around 20 gigabits per second of data to 37.3Gbps, according to SIAC.

Doomsday prepping

As the volume of options trading has increased exponentially over the last 15 years, so has the amount of traffic on Opra, which is known for its firehose-like bursts of data. In 1992, moments of peak traffic on Opra saw spikes of 100 messages per second. By 2000, peak spikes were around 4,000 messages per second, and just five years later, it was 83,339 messages per second. By July 2008, messages per second had hit nearly 1 million. Today, SIAC’s projection for the 96-line multicast feed is 116.3 billion messages per second.

The increase has been driven by a number of market factors, including the long-awaited launch of MEMX, which went live in late September after much delay. Coupled with that is the increase in retail trading driven by sites like Robinhood and eToro, which have made historically complex markets like options more accessible. These forces along with the rise of zero-day-to-expiration options trading have all contributed to ballooning options contracts. CME Group alone reported that average daily volume in options on the platform rose 23% in 2022 from a year prior, and as of October was up 21% in 2023.

“It’s the natural evolution of data: rates are increasing, trading is increasing, and the number of transactions is increasing … The question is always when,” Exegy’s Derasse says.

Derasse says his company is now preparing itself for the day that US equities exchanges begin to ramp up the amount of data they can send out at once, which he expects to see the first shifts toward later this year.

The Opra upgrade, which was first announced in August 2022, was originally scheduled to take place in July 2023 before the date was pushed to October 9, and then to February 5 of this year, as some recipients failed to handle the faster data speeds. Trading technology and infrastructure providers responded by upgrading their offerings in an attempt to help firms prepare for a faster future.

In the midst of the delays, Opra also suffered four headache-inducing outages last year, which may have been prevented had the upgrade occurred on its original schedule. 

Industry participants are now preparing for bandwidth spikes anywhere between 40Gbps to 100Gbps despite SIAC’s bandwidth guidelines, with some of the networking companies proactively preparing their cables to ingest 100Gbps of data. This is because most firms receive not only Opra but the consolidated tapes for US equities—the Consolidated Tape Association feed (CTA) and the Unlisted Trading Privileges feed (UTP)—together. “As soon as Opra and CTA combined passed 40[Gbps], it created a problem for pretty much the entire industry in the US who wasn’t already prepared for it,” says Micah Kroeze, chief product offer at Options Technology (formerly Options IT). 

Jeff Mezger, vice president of product management for financial markets at Transaction Network Services, says the problem right now is “getting ahead” of an unknown amount of data from 17 options exchanges and Opra.

“There are a lot of firms that are doing Manhattan Project style things—they’re pushing every other priority off the table,” Mezger says of the lead-up to Opra’s upgrade. “[There was] lots of scrambling.”

For firms, the challenge is twofold. Firms receiving Opra must ensure their network infrastructure—or the pipes that carry the data—are up to par, in addition to the processing infrastructure needed to take in the data at increasingly higher rates. Opra feeds can weigh heavy on a firm’s server capacity.

According to Exegy’s Derasse, most firms have run into problems with the latter. “My view, and from what we’ve seen with our customers, is [that the challenge] is mostly around the processing and the downstream systems that are ingesting the data. … It’s not a pipe problem; it’s more a software processing problem.”

With the recent upgrades to Opra, the total amount of bandwidth required to consume both Opra and CTA together exceeded 40Gbps. It’s a rare, but very meaningful, figure

Micah Kroeze, Options Technology

Vendors have been quick to capitalize on the disruption—already experienced and still to come—by releasing new solutions to handle the increase in bandwidth required by firms. Exegy and Celoxica, a systematic trading solutions provider, have released updated versions of their ticker plants, both of which use specialist microprocessors known as Field-Programmable Gate Arrays (FPGAs) to process high-speed market data. The approach is often noted as an example of a hardware-acceleration technology, whereby hardware is trained to perform simple tasks more efficiently than software.

On the software side, SpiderRock Data & Analytics, the market data arm of SpiderRock Technology, released an API solution targeted at smaller firms without the infrastructure budgets to accept the complete raw Opra feed. Instead, using an API, they have made a tool that will allow firms to accept one tenth or less of the feed.

Network providers, meanwhile, say they are preparing for future updates that may mean much, much greater bandwidth requirements. TNS, which laid dark fiber across the New York financial routes in 2019 to allow for faster data transmission, has upgraded its network capacity to allow 100Gbps handoffs to users. Fellow capital markets infrastructure providers Pico and Options Technology have also upgraded to 100Gbps networks.

Sources suggest this will not be the last time changes to Opra and other datafeeds force firms to increase their bandwidth capacity. Currently, Mezger says Opra has plans in place to raise the cap on the amount of data exchanges can send at once to over 40Gbps, the highest bandwidth permitted by Opra. Historically, exchanges could not send more than 10Gbps of data at once, but within the past 10 years, exchanges became able to disseminate data at 40Gbps, with Nasdaq and the New York Stock Exchange being the first to do so.

Kroeze explains that while 40Gbps has worked well for the financial services industry for the past decade, the amount of data flowing through consolidated tapes in general—Opra, the CTA and UTP—is only growing.

“With the recent upgrades to Opra, the total amount of bandwidth required to consume both Opra and CTA together exceeded 40Gbps,” Kroeze says. “It’s a rare, but very meaningful, figure.”