Comments (3)
@stokhos Thanks for your note. The decoder (mdp_decoder.py
) will currently decode CME Market by Order (MBO) packets just fine. Unfortunately, the book builder (mdp_book_builder.py
) only handles CME Market by Price (MBP) right now.
I'd love to have support for CME MBO. We haven't really had time to look at it yet and nothing is pending. If you'd like to contribute, we'd be happy to incorporate your code if you want to fork and submit a pull request If you have any questions, I'm happy to answer.
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@tfgm-bud Hi I looked at the cme ftp, but I couldn't find the template for market depth. Do you know any other places that I might find the template?
Best
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Have a look around on sftpng.cmegroup.com: https://www.cmegroup.com/confluence/plugins/servlet/mobile?contentId=81362961#iLinkArchitecture-SFTP-MSGWConfiguration
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Related Issues (15)
- sample data HOT 1
- SBERepeatingGroupIterator missing HOT 7
- is_string_type fails with null strings HOT 3
- orderbook isn't included in egg anymore HOT 1
- Generator Does Not Support SubGroups HOT 2
- Make sbedecoder publicly available on pypi.org HOT 4
- Add support for Python 3 HOT 1
- Support for Market Depth HOT 3
- Fixed header size HOT 8
- Support for ref in composite elements
- Decoder doesn't support message versioning HOT 1
- Verify compatibility with the FIX Trading Community specification HOT 6
- errors: invalid tcpdump header HOT 1
- compile errors with version 3.5.1 HOT 1
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