FAST FIX

dgn2 · Post by **dgn2** » Tue Jun 21, 2011 6:27 am

ax / signalseeker, I am uploading a few samples to the cloud and I will post some links. Just a warning: The files are a bit large.

http://dl.dropbox.com/u/4998753/exchange/cme/cboteqindexfutures.txt

http://dl.dropbox.com/u/4998753/exchange/cme/cbotcommfutures.txt

http://dl.dropbox.com/u/4998753/exchange/cme/cmecommfutures.txt

The guys at tradingphysics.com appear willing to pre-process the data for me / to provide the data in whatever format I need, but I would prefer to process all data myself.

I should mention that the guys at tradingphysics.com have been very helpful.

I have been using these guys for NASDAQ data for some time now and they have been great.

Anyway, it is much easier / cleaner to collect huge amounts of book data via end-of-day / end-of-week FTP, then to collect it off feeds myself.

signalseeker · Post by **signalseeker** » Tue Jun 21, 2011 7:11 pm

I took at look at the first file and I think I am familiar with the format. I'll send you an email later today. The key is to unpack grouped messages correctly. Do you have the specs provided by the CME?

dgn2 · Post by **dgn2** » Tue Jun 21, 2011 7:36 pm

Yes I have the specs and the current templates. Thanks.