outputting detailed realtime level2 CME data

[scrooge4277]

I've been working with level2 historical data from the CME for the past few months which they provide as flat ASCII files of raw messages to be parsed.  Unfortunately, this format doesn't seem to be available for real time data so my existing parsing application will have to be rewritten.  I've looked at quite a few options and otfeed seems to be the most likely to provide what I need. 

Anyway, I was wondering how I would go about outputting the price, quantity, and number of orders for each depth of market level.  I'd like to be able to pass any book updates to a modified version of my existing parser application, or possibly just a 10 x 3 matrix of all the information...is there a simple way to accomplish this? 

Thanks in advance for the help.

[Mike Kroutikov]

I see two technical problems there:

1. OT feed contains "book update" events, there is no such thing as a full book view - it has to be reconstructed from update events.

2. opentick service does not have a "snapshot" request for a book, therefore, full view of a book can build up only gradually and even after some time of data accumulation may miss some "outlier" entries.

The task (1) above is not difficult technically: you just have to apply the incoming events to a "book view" aggregator that holds the level2 state, and then emit the state in whatever format is convenient for you (e.g. 10x3 matrix). Unfortunately, org.otfeed has  nothing out-of-the-box that will do it.

Hope this helps,
-Mike

[Curt Smith]

Tnx to the contributors here.  I respectfully add that the OT community could use a few of these tools contributed to the OT forum free tools section.  A historical and real time book down loader would be great.  Or bits and pieces.

BTW Scrudge any issues discovered on your path?

Best of luck, curt