Upcoming changes to ICE data normalization

We’re enhancing our normalization of ICE data to simplify the handling of multi-legged instruments and support the filtering of off-market trades. These updates will apply to both the ICE Futures Europe (IFEU.IMPACT) and ICE Endex (NDEX.IMPACT) datasets.

The changes will be implemented for IFEU.IMPACT and NDEX.IMPACT historical data on November 26, 2024, at 6 PM EST, with live data updates following on December 1, 2024, at 5:30 AM EST.

Currently, for multi-legged instruments—such as calendar spreads, seasonal contracts, and option strategies—the raw symbol in our instrument definition schema and symbology is sourced from ICE's strategy symbol. However, strategy symbols offer limited insight into the composition of an instrument, while contract symbols tend to provide clearer information.

After this change, raw_symbol in our instrument definition schema will represent the ContractSymbol rather than the StrategySymbol. Refer to ICE's  Instrument Naming Convention document for a full explanation of the format of contract symbols.

ICE publishes certain trades as “system priced legs,” whose prices may deviate by more than 10% from the bid/ask. ICE advises against using these trades to update the last price. Currently, these trades affect our OHLCV schemas, resulting in inconsistencies that have been noted on our public issues tracker .

With this change, system-priced legs will show null prices and will no longer contribute to open, high, low, or close prices in OHLCV data, though they will still count toward volume.

ICE publishes off-market trades on its feed, and it's currently impossible to distinguish these trades from regular on-exchange trades in our normalized data.

After the change, trades marked as off-market will have a distinct value in the publisher_id field, which is found in all schemas: IFEU.IMPACT.XOFF for ICE Futures Europe and NDEX.IMPACT.XOFF for ICE Endex.