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Order Book Generator CME Globex MDP 3.0 Data

C++ Program to generate order book by parsing CME MDP 3.0 Data (.pcap) file.

Installation

Code tested on Ubuntu LTS 22.04.1

# Install necessary library
sudo apt install g++ libpcap-dev zstd

Dataset

# Download Dataset 
wget https://sample-pcaps-dl.databento.com/glbx-all/20230716/dc3-glbx-a-20230716T133000.pcap.zst
# Decompress .zstd file
unzstd dc3-glbx-a-20230716T133000.pcap.zst

Usage

# compile
g++ -std=c++17 main.cpp -o main.o -lpcap
# run file
./main.o dc3-glbx-a-20230716T133000.pcap

Follow Command Line prompts to generate orderbook for a particular security ID.

Approach to Generate Orderbook

  • Update the orderbook for a security if there is a Snapshot Full Refresh (Template ID: 52).
  • Higher sending time means more updated book, and showing the most updated book in the end.