OnixS integrates with Databento CME Globex MDP 3.0 high resolution pcap historical market data sets
Databento provides live and historical CME Globex MDP 3.0 raw market data packet capture (PCAP) files with nanosecond-resolution hardware timestamps.
OnixS provides the OnixS directConnect: CME MDP Premium Market Data Handler C++, .NET and Java SDK implementations to quickly integrate the live CME MDP 3.0 Market Data Simple Binary Encoded (SBE) CME Globex market data feed and also the Databento historical CME Globex MDP 3.0 *.pcaps into automated trading strategies and frameworks.
A common use-case for trading strategy development, analytics, and calibration is reconstructing what happened in the target markets over historical time periods i.e; what order events would have been generated by my trading strategy based on market state and would they have been in the money?
Timing matters in this context – low latency trading strategies are sensitive to slippage. To accurately reconstruct the market data and order book based on history requires high precision and reliable nanosecond resolution data sets to know exactly what happened and when.
Put simply, the combination of the Databento CME Globex MDP 3.0 raw market data packet capture (PCAP) files and the OnixS OnixS directConnect: CME MDP Premium Market Data Handler SDK implementations enables traders to accurately reconstruction the order book for historical periods.
The OnixS directConnect: CME MDP Premium Market Data Handler SDK evaluation distributions includes a fast-start reference implementation Replay source code sample. This sample provides a quick and efficient method to get started using the Databento *.pcap files and usage with the Databento CME Globex MDP 3.0 Download samples.
