Market Data Services
Digital Vega currently sources, normalises and aggregates implied vol data from 3 major market participants within its proprietary aggregation engine. The company is currently in discussion with 3 other banks on this project with a view to launching with a minimum of 5 major providers. Current data covers 62 pairs including Gold and Silver contracts and is republished every 10 seconds via a dedicated FIX API.
A list of supported pairs is attached
• Timing: Real time Feed
• Currency Pairs: 62
• Data type: Average Bid + Average Offer Forward Delta Implied Volatility
• Tenors and Delta Points:
Market Data (Implied Vol Aggregator)
Digital Vega will launch a “Best Execution” focused service to major banking and financial institutions to help manage more onerous reporting requirements. Delivered via an existing, dedicated FIX API. DV will progressively add additional pairs and providers as the service gains traction.
In less liquid pairs, DV will provide alerts to consumers if agreed minimum data sources are not available at the time of query.
Discussions with existing and potential new providers around data timing and availability are ongoing; I.E should the feed deliver data in real time or be delayed by an agreed period? DV will seek consensus from participants and circulate input/views.
DV will also circulate details of minimum contribution requirements in order to qualify for the Provider Fee levels.