CMEpick_BidAsk 工具程式說明

張貼日期：Apr 21, 2013 12:9:23 AM

功能: 用來分析RawData中指定商品的所有買賣價行情資料

(包括一般深度行情與隱含買賣價以及Exchange Best最佳委託行情)

環境: RawData在GMDS03/04上,

CMEpick_BidAsk.exe 執行須有 PktEvCdll.dll 這個API,

透過連線 TSHS-TfsRaw 取得交易所RawData log進行分析

執行方式: 直接Console執行 CMEpick_BidAsk.exe 會有說明

Usage:

CMEpick_BidAsk host_address request_list [SecurityID]

Examp:

CMEpick_BidAsk 127.0.0.1:8217 YYYYMMDDHH0000,00000000 196436

參數:

host_address : TSHS-TfsRaw提供的服務來源

request_list : TSHS的資料要求開始時段與序號

SecurityID : 交易所商品代碼, 可於 PatsEmu-CME 產生的 Security檔案中查得

輸出到檔案:

用Console的重新導向 '>' 指定到要輸出的檔案

例如

CMEpick_BidAsk 127.0.0.1:8217 YYYYMMDDHH0000,00000000 196436 > lll.txt

執行顯示畫面與輸出文字檔內容

EntryTime 為交易所提供之GMT時間

程式同一時間只顯示一次, 同時附上TSHS的時段序號, 便於重複操作時可透過此代碼進行要求

最前面

[ ] 代表一般深度行情

[K] 代表隱含買賣價行情

[C] 代表Exchange Best的最佳委託行情

一般深度行情與隱含買賣價行情, 會將買賣分別顯示在左右兩邊對齊易於辨識

指令有

New - New (Add) , to create/insert a new price at a specified price level (tag 279 MDUpdateAction=0)

Chg - Change , change quantity for a price at a specified price level (tag 279 MDUpdateAction=1)

Del - Delete , remove a price at a specified price level (tag 279 MDUpdateAction=2)

Ovl - Overlay (tag 279 MDUpdateAction=5)

左邊是買價 Bid(檔次) EntryPx[價/量]

右邊是賣價 Ask(檔次) EntryPx[價/量]

Exchange Best

EntryType[0:Bid 1:Offer] EntryPx[價] EntrySize[量] PriceLevel[檔次] UpdateAction[指令]

PatsEmu-CME的Security檔案內容(用文字編輯器看)如

28110,"EPZ","KC","EPZU1","XCME","FFCXSX","4","20110919"

86193,"6L","6L","6LX8","XCME","FFCXSX","4","20181031"

184669,"6Z","6Z","6ZH2","XCME","FFCXSX","4","20120319"

17465,"6B","6B","6BM1","XCME","FFCXSX","4","20110613"

85102,"FXD","DX","FXDM1","XCME","FFCXSX","4","20110613"

34135,"RMB","RM","RMBQ1","XCME","FFCXSX","4","20110816"

依序為: SecurityID,SecurityGroup,

Symbol,SecurityDesc,SecurityExchange,CFICode,UnderlyingProduct,LastTradeDate

透過熟知的 SecurityDesc 搜尋檔案, 取前面的 SecurityID 代到 CMEpick_BidAsk 程式參數中使用即可