Recommeneded parser for FIX?

Discussion in 'App Development' started by dismalscience, Nov 21, 2013.

  1. dismalscience

    dismalscience

    Hi,

    I just bought some historical CME market depth data that I plan to use in my research. I'm unfamiliar with the FIX protocol that the data is stored in.

    Can you recommend a program that would help me parse the FIX data into a csv or similar format that I can access for my work? Or, do I need to write a custom parser? My goal is to rebuild the order book for relatively short periods (minutes to hours).

    Desired attributes for the target program: (1) cheap and (2) good. I'm only looking at historical data.

    Any help is appreciated.

    Thanks!
     
    #1     Nov 21, 2013
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  2. 2rosy

    2rosy

    I wrote this a while ago. I think it works :confused:
    PM me if you want the elite version $$$
     
    #2     Nov 21, 2013
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  3. Occam

    Occam

    FYI I think you want FIX FAST, not just plain FIX, which is generally used for order entry rather than quote data. But I can't be sure as I've never ordered historical from CME.
     
    #3     Nov 21, 2013
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