I still have that one that I wrote.
On Mon, Apr 15, 2013 at 7:42 AM, Eugene Kononov <[email protected]>wrote: > I know, this thread is a couple of years old, but I am looking to acquire > a new set of CME historical market depth data in the FIX/FAST format, and I > am wondering if anyone has written a FIX/FAST->JBT converter. If so, please > let me know. Thanks. > > On Wednesday, November 4, 2009 10:22:24 PM UTC-5, shaggsthestud wrote: >> >> Oh, and I also meant to mention - perhaps QuickFIX of some other >> library could be used to generate a second implementation completely >> separate from mine. The best test is to have two completely separate >> parsers, and see if they give the same results. >> >> I can also see it being a complete waste of time.. but... data >> integrity is pretty important for a trading system (but then again, >> what isn't?). >> >> On Nov 3, 5:11 am, nonlinear5 <[email protected]> wrote: >> > Instead of implementing FIX parser from scratch, you may want to reuse >> > this open source >> > package:http://www.quickfixj.**org/<http://www.quickfixj.org/> >> > >> > On Nov 3, 3:02 am, shaggsthestud <[email protected]> wrote: >> > >> > > 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 unsubscribe from this group and stop receiving emails from it, send an > email to [email protected]. > To post to this group, send email to [email protected]. > Visit this group at http://groups.google.com/group/jbooktrader?hl=en. > For more options, visit https://groups.google.com/groups/opt_out. > > > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To unsubscribe from this group and stop receiving emails from it, send an email to [email protected]. To post to this group, send email to [email protected]. Visit this group at http://groups.google.com/group/jbooktrader?hl=en. For more options, visit https://groups.google.com/groups/opt_out.
