CME Book Building

Community Support
1

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But it’s dated 2015 so perhaps it’s a little outdated(I’m sure the functionality is still there), but I’m hoping there is something avaliable to make this easier.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

2

Hello Andie C, To parse FIX messages from CME you can use the TorQ-CME decoder package which can be found here: https://github.com/AquaQAnalytics/TorQ-CME Note that the parser cannot process real time data, it is designed to process historical CME FIX data log files. Please let me know if you have any problems running it, and I will try to assist you Regards Karan Patel

3

Hi Karan,

Thanks for the timely response - this looks right up my street!

I am however having some issues. 

When I’m getting this going, the decoder is eating up large amounts of my CPU, perhaps I’ve missed a step here or done something incorrectly.

Could you further advise on this?(maybe even a simple step by step as I’ve followed the guide as close as I could) 

It could be something I’ve missed(likely) or didn’t quite get in the explanation on the link.

Any help is much appreciated.

Thanks,

Andie C