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Building a custom platform for automated trading with Louise!

  #3 (permalink)

Amsterdam, Netherlands
 
 
Posts: 9 since Feb 2015
Thanks: 0 given, 7 received


I established a 10G connection to CME and started storing data. The data comes via UDP streams and looks like this when parsed.

 
Code
        NoMDEntries (268): 1
        NoOrderIDEntries (37705): 1
        Entry 1
            OrderID (37): 8016711247293
            MDDisplayQty (37706): 10
            ReferenceID (9633): 1
            OrderUpdateAction (37708): Update

        NoMDEntries (268): 1
        NoOrderIDEntries (37705): 1
        Entry 1
            OrderID (37): 844980153910
            MDDisplayQty (37706): 1
            ReferenceID (9633): 1
            OrderUpdateAction (37708): Delete
If built correctly, my data feed should work on historical data and expose the same API as live trading, this way I can do both backtesting and live trading with the same data feed.

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