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tfgm-bud avatar tfgm-bud commented on June 3, 2024

@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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stokhos avatar stokhos commented on June 3, 2024

@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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tfgm-bud avatar tfgm-bud commented on June 3, 2024

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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