ArcaBook multicast raw dump

Discussion in 'Automated Trading' started by pheon, Dec 13, 2009.

  1. pheon



    Been lurking for a while and finally decided to write some code today... see what all this HFT hyperboloid is about

    Wrote an ArcaBook compact mulitcast quote decoder using the sample data on NYSE ftp site + pcap. The quality of the tcpdump is just shocking... drops a obscene number of packets so hard to verify if the books add up... correct me if im wrong.

    Anyone have a faily clean 1day tcpdump of ArcaBook? or possibly something more interesting like an OPRA feed?

    Happy to share the code in return, 1st(brain dead) pass clocks in at around 2M msg/sec, about 1000 cycles/msg with full book accounting. Easy to up perf but want to get some latency stats next.