Specs – Where to find exchange information

admin August 9, 2017 Advanced, Get the job!, HFT Leave a comment 5,765 Views

The question has been asked, “Where can I find exchange information for starting a project?” Here are some links. Please note, I’m not able to answer detailed questions on how to implement an exchange interface since that is my day job and I don’t want to run afoul of my company. However, here are some starting points:

CME:

https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+Message+Specification

https://github.com/tfgm/sbedecoder

NASDAQ:

http://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHSpecification_5.0.pdf

https://fixspec.com/FixSpec/ITCH#

https://github.com/Amay22/NASDAQ-ITCH-5.0-Parser

That should be enough to get started on one or both. Important things to learn would be feed handling and book management.

Good luck!