Hi Q Experts,
I’m hoping for some advice on the using some data provided by CME.
From my limited understanding (where you all come in), CME makes data available in FIX/FAST format messages which I would be able to use in buildiing a book - but I’m not 100% on the best way going about this.
I’ve been referencing the following document;
http://www.cmegroup.com/market-data/files/fix-fast-market-data-message-specification.pdf
But it’s dated 2015 so perhaps it’s a little outdated(I’m sure the functionality is still there), but I’m hoping there is something avaliable to make this easier.
I’m familiar with the process of building a book.
My main question is how easy is it to get value from these raw FIX/FAST messages, and once I’ve got that value, how best to work with it?
I imagine some sample output would look like the following(or where I would find most value in it) I’m probably missing some columns here, but along these lines;
date time sym side orders size price
----------------------------------------------------------------------
2018.02.20 2018.02.20D04:34:12.601344956 4AX4 bid 6 25 10270
Thanks!
Andie C