I wasn't expecting this, but maybe I should: the file has all of the futures contracts in it. I thought it was just for one expiration date.. The plot thickens.
On Nov 2, 11:17 pm, shaggsthestud <[email protected]> wrote: > 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 -~----------~----~----~----~------~----~------~--~---
