README.md

CBOE PITCH Viewer

Tools for parsing and viewing PITCH messages

ONLINE DEMO

Data file to upload for testing with online demo - data_med

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Overview

CBOE provide services for rapidly trading stocks, and they publish specifications detailing their proprietary message formats - only available as PDFs :/ they also do not have software SDKs for public use. This repo addresses the issue by offering:

1. YAML files representing messages as defined from the official PDFs (only a few are done, as examples)
2. Kaitai Struct tooling, turning the YAMLs into SDKs for parsing data in Python/Javascript/C++/more
3. A Vue app that uses our new sdk for parsing uploaded data and viewing it in a debug environment

Example

Example PITCH data feed:

S28800012ABK27GA00000LB001000SSO   0000763600Y
S28800012ABK27GA00000MS001000SSO   0000764800Y
S28800012AAK27GA0000DUS001000SDS   0000549300Y
S28800012AAK27GA0000DVB001000SDS   0000548000Y
...

The first line is an Add Order (short) 4.3 message, for which we have:

1. structs/specs/4.3-short.yml file defineing it's fields and their types
2. a javascript file with functions to parse 4.3 formatted data. the javascript file is generated by Kaitai
3. The Vue debugging tool will parse uploaded data and display the 4.3 message as:

Development

Installation & Development

OS X & Linux:

$ cd /client
$ yarn install
yarn install v1.7.0
[1/4] Resolving packages...
[2/4] Fetching packages...
...
$ npm run serve
...
  App running at:
  - Local:   http://localhost:8080/
  - Network: http://10.0.0.200:8080/

Structure

The code is split into the SDK building, and then the Viewing app:

1. Converting the PITCH Message Specifications into usage python/javascript parsers/models
   • /structs/specs - YAML's built by referencing the official PDF specs
   • notebooks/Building Structs.ipynb - Notebook to build YAMLs into py/js models
2. Web interface/app/viewer to view uploaded message data
   • /client/ - Vue.js app (pictured above)
   • structs/compiled/Cboe.js- Generated in step 1 , imported by web app

Notes

Initially I went the route of making the python models and types for a backend parsing service, as I'm primarily a python developer. But copy-pasting each value into hardcoded classes when there's clearly an existing spec somewhere isn't what I'd normally do. So I did the YAMLs, and referenced those as the specs in the vue app. More about this in notebooks/Building Structs.ipynb. I left code from initial run in /cboe-sdk/ and notebooks/Modeling.ipynb.

Related

This feels very similar to ACORD AL3, which is a popular fixed length messaging standard used by insurance software for the transmission of policies and claims. I created the AL3 implementation during my time at BriteCore .

The idea for the viewer comes from working with AL3, as there are thousands of different data/message types and no straightforward tool for displaying a feed of messages and their fields.