OnixS, in conjunction with ICE Data Services have produced a solution set for high precision ICE iMpact and CME MDP 3.0 feed order book historical reconstruction, backtesting and analytics.
The OnixS directConnect: ICE iMpact and OnixS directConnect: CME MDP 3.0 Market Data Handler SDK C++ implementations provide high performance, ultra-low latency SDK implementations with an easy-to-use API to quickly integrate the market data feeds into automated trading frameworks and application logic.
The ICE Data Services raw tick historical data solutions serve the needs of the most-latency sensitive traders by providing high precision data that enables testing and optimization of trading strategies, market research and analytics. The ICE and CME raw tick history solutions provide low-level network packet capture (pcap) data sets, with GPS nano-second time-stamps, captured at the exchange colocation. The tick history files are available via AWS (Amazon Web Services) for both on-demand and bulk delivery.
The OnixS directConnect: ICE iMpact and OnixS directConnect: CME MDP 3.0 Market Data Handler SDK integration with the ICE Data Services raw tick pcap files is an OnixS supported solution for high precision historical full order book reconstruction for algorithmic backtesting and analytics.
The OnixS directConnect: ICE iMpact and CME MDP 3.0 Market Data Handler SDK supports the ICE Data Services raw tick pcap format files directly via the SDK feed engine. From the user code API event notification perspective, the API events are exactly the same in both the live production feeds or data replayed from the pcap log files. This provides a complete solution for backtesting that can then be deployed in live production without user code level changes.
Users may subscribe to the ICE Data Services ICE and CME raw tick products, and license the OnixS directConnect: ICE iMpact and OnixS directConnect: CME MDP 3.0 Market Data Handler SDK C++ implementations to process the data.
Request a download of the OnixS directConnect Market Data Handler SDKs with fast-start replay reference implementation source code sample to review this functionality.
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Details of the ICE Data Services Raw Tick Service are available here.
Tailor a comprehensive set of market insights and information to address your needs with pricing and analytics, indices and exchange data in a secure, flexible connection. ICE Data Services’ solutions cover a broad range of asset classes, delivered securely to help you address your investing, trading, compliance and risk management requirements.
Onix Solutions Limited [OnixS] is a London headquartered specialist software business providing high-performance multi-platform, multi-venue Direct Market Access [DMA] market data and order routing software solutions. Our core focus is on building software solutions to save money and time in both the build and ongoing maintenance of the market data and order routing capabilities for automated trading strategies.