Ok, I have made some progress. I can do the basic FIX processing: check message length and checksum, split up messages into field/value pairs, check that message send order is preserved, divide a message into a header and groups of message blocks, throw exceptions.
I need to clean up the code a bit (I am a bit of a Java newb), and then I will start decoding the individual message blocks. Some general notes observations: - The FIX specs I was able to find didn't tell me much. I signed up for a site membership at fixprotocol.org, and the PDF was a bit helpful, but not really. - The Wikipedia page told me about as much, and more (such as the checksum and length calcs), and it took only a few minutes to read. - I glanced over the basic idea from those and have been using the CME doc to interpret the data. The structure doesn't look rigidly defined anywhere in the text, so I am just going buy the patterns in the data. (For example, all data blocks seem to start with tag 279, so far. I wrote good exceptions to catch irregularities). - The FIX protocol states that messages should start with "8=FIX...". The CME data does not start like that (although it does start with a tag with similiar meaning, I guess). I'm not sure what to make of that but I am ignoring that for now. - Each message (which take up 1 line of the data file) can have several "message blocks" inside it. Each block represents a market data update. So within the message you could have, for example, 5 different updates to the book, and/or different types of messages as well. On Oct 30, 10:11 am, shaggsthestud <[email protected]> wrote: > If no one has started, I am looking into it. Looks like a meaty > project. I don't want to start from scratch if someone else is doing > it already. > > Anyone started yet? --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en -~----------~----~----~----~------~----~------~--~---
