Metadata-Version: 2.1
Name: sbedecoder
Version: 0.1.10
Summary: Simple Binary Encoding (SBE) decoder (handles CME MDP3 messages)
Home-page: https://github.com/tfgm/sbedecoder
Author: TradeForecaster Global Markets, LLC
Author-email: github@tradeforecaster.com
License: MIT
Description: [![Build Status](https://travis-ci.org/tfgm/sbedecoder.svg?branch=master)](https://travis-ci.org/tfgm/sbedecoder)
        
        Python based Simple Binary Encoding (SBE) decoder
        =================================================
        
        Overview
        --------
        
        sbedecoder is a simple python package for parsing SBE encoded data.  
        
        sbedecoder dynamically generates an SBE parser from an xml description of the format. This is accomplished by
        creating an instance of `SBESchema()` and calling it's `parse()` method with a file name:
        
            from sbedecoder import SBESchema
            schema = SBESchema()
            schema.parse('path/to/schema.xml')
        
        The `SBESchema()` can be initialized with `include_message_size_header=True` if the messages being parsed
        require an extra 2 byte (unit16) framing message_size_header field (i.e. for CME MDP 3.0).
        
        By default, message names are derived from the "name" field of the message definition in the schema.
        In some cases (i.e. CME MDP 3.0), the message "description" field of the message definition provides a
        more friendly name for the message. To use message descriptions as the name of the message,
        initialize your SBESchema with `use_description_as_message_name=True`.
        
        For convenience, an `MDPSchema()` subclass of `SBESchema()` is provided with `include_message_size_header=True`
        and `use_description_as_message_name=True` specifically to handle CME Group MDP 3.0 schema's.
        
        Messages are parsed from any structure that looks like a buffer containing the raw binary
        data (buffer, str, bytearay, etc).  To parse SBE encoded data into a message based on a
        schema instance, just call `SBEMessage.parse_message()`:
        
            from sbedecoder import SBEMessage
            message = SBEMessage.parse_message(schema, msg_buffer, offset=0)
        
        `offset` is an optional parameter that indicates where within the msg_buffer the message
        starts (including the size header if the schema has `include_message_size_header` set).
        
        A parsed message is represented as an instance of the `SBEMessage()` class.  `SBEMessages()` are
        comprised of zero or more `sbedecoder.message.SBEField()` instances and zero or more
        `sbedecoder.message.SBERepeatingGroup()` instances. An `SBEField()` object can be one of a primitive
        `TypeMessageField()`, a `SetMessageField()` or an `EnumMessageField()`
        
        **Note:** Unless using code generation, you cannot store the messages for later processing.
        You must process the messages on each iteration, because the messages re-use instances of
        field objects, wrapping them around new values.
        
        The CME Group sends MDP 3.0 messages in packets that include a 4 byte sequence number
        and a 8 byte timestamp.  In addition, there can be multiple messages in a single packet
        and each message is framed the with a 2 byte (unit16) message size field as mentioned above.
        
        To parse these messages, you can create a `MDPSchema()`, use that to create a
        `MDPMessageFactory()` and then create a `SBEParser()` which can then iterate over the messages in
        a packet like this:
        
            from sbedecoder import MDPSchema
            from sbedecoder import MDPMessageFactory
            from sbedecoder import SBEParser
        
            schema = SBESchema()
            schema.parse('path/to/schema.xml')
            message_factory = MDPMessageFactory(schema)
            message_parser = SBEParser(message_factory)
        
            for packet in SOME_DATASOURCE:
               for message in message_parser.parse(packet, offset=12):
                   process(message)
        
        
        This "Message Factory" concept could easily be extended to new framing schemes by creating a new sub class of `SBEMessageFactory()`
        
        For more information on SBE, see: http://www.fixtradingcommunity.org/pg/structure/tech-specs/simple-binary-encoding.
        
        Install
        -------
        
        The sbedecoder project is available on PyPI:
        
            pip install sbedecoder
            
        If you are installing from source:
        
            python setup.py install
        
        **Note**: The SBE decoder has only been tested with python 2.7 and 3.6.  On Windows, we typically use the 
        Anaconda python distribution.  Anaconda does not distribute python's test code.  If you have 
        issues with dpkt (ImportError: No module named test), you can either install the latest dpkt 
        from source (https://github.com/kbandla/dpkt) or just comment out the import (from test import 
        pystone) in ..\\Anaconda\\lib\\site-packages\\dpkt\\decorators.py.  Newer versions of dpkt no 
        longer have this dependency.
        
        
        mdp_decoder.py
        --------------
        
        mdp_decoder.py serves as an example of using the sbedecoder package.  It is a full decoder for processing CME Group
        MDP 3.0 (MDP3) messages from a pcap file.  For help with using mdp_decoder.py:
         
            mdp_decoder.py --help
        
        An SBE template for CME Group MDP 3.0 market data can be found at 
        ftp://ftp.cmegroup.com/SBEFix/Production/Templates/templates_FixBinary.xml
        
        Example output:
        
            :packet - timestamp: 2015-06-25 09:45:01.924492 sequence_number: 93696727 sending_time: 1435243501924423666 
            ::MDIncrementalRefreshVolume -  transact_time: 1435243501923350056 match_event_indicator: LastVolumeMsg (2)
            :::no_md_entries - num_groups: 1
            ::::md_entry_size: 4483 security_id: 559884 rpt_seq: 2666379 md_update_action: New (0) md_entry_type: e 
            ::MDIncrementalRefreshBook -  transact_time: 1435243501923350056 match_event_indicator: LastQuoteMsg (4)
            :::no_md_entries - num_groups: 2
            ::::md_entry_px: 18792.0 ({'mantissa': 187920000000, 'exponent': -7}) md_entry_size: 1 security_id: 559884 rpt_seq: 2666380 number_of_orders: 1 md_price_level: 1 md_update_action: Delete (2) md_entry_type: Bid (0) 
            ::::md_entry_px: 18746.0 ({'mantissa': 187460000000, 'exponent': -7}) md_entry_size: 6 security_id: 559884 rpt_seq: 2666381 number_of_orders: 1 md_price_level: 10 md_update_action: New (0) md_entry_type: Bid (0) 
        
        Example output (with `--pretty`):
        
        
        ```
        packet - timestamp: 2016-03-10 15:33:21.301819 sequence_number: 76643046 sending_time: 1454679022595400091
            Message 1 of 2: TID 32 (MDIncrementalRefreshBook) v6
                TransactTime (60): 02/05/2016 07:30:22.595256135 (1454679022595256135)
                MatchEventIndicator (5799): LastQuoteMsg
                NoMDEntries (268): 1
                Entry 1
                    MDEntryPx (270): 98890000000 (9889.0)
                    MDEntrySize (271): 296
                    SecurityID (48): 807004
                    RptSeq (83): 14273794
                    NumberOfOrders (346): 16
                    MDPriceLevel (1023): 2
                    MDUpdateAction (279): Change
                    MDEntryType (269): Offer
            Message 2 of 2: TID 32 (MDIncrementalRefreshBook) v6
                TransactTime (60): 02/05/2016 07:30:22.595256135 (1454679022595256135)
                MatchEventIndicator (5799): LastImpliedMsg, EndOfEvent
                NoMDEntries (268): 8
                Entry 1
                    MDEntryPx (270): 475000000 (47.5)
                    MDEntrySize (271): 296
                    SecurityID (48): 817777
                    RptSeq (83): 1573080
                    NumberOfOrders (346): Null
                    MDPriceLevel (1023): 2
                    MDUpdateAction (279): Change
                    MDEntryType (269): ImpliedBid
                Entry 2...
        ```
        
        mdp_book_builder.py
        -------------------
        
        mdp_book_builder.py serves as an example of using the sbedecoder package to build limit orderbooks for a given contract.
        
        For help with using mdp_book_builder.py:
        
            mdp_book_builder.py --help
        
        Versioning
        ----------
        
        sbedecoder supports the `sinceVersion` attribute of fields, enumerants, groups, ..., etc, and so it can
        decode older (e.g. archived) binary data so long as the schema has evolved correctly to maintain support
        for the old format
        
        Performance
        -----------
        
        sbedecoder itself isn't optimized for performance however it can be adequate for simple backtesting scenarios amd 
        post trade analytics.  Due to the amount of printing done by mdp_decoder.py, it can be quite slow to parse large 
        pcap files.
        
        PyPy
        ----
        
        For improved performance (4 to 5x), sbedecoder will run under PyPy.  Assuming your pypy install is in /opt:
        
            /opt/pypy/bin/pip install lxml
            /opt/pypy/bin/pip install dpkt
            /opt/pypy/bin/pypy setup.py install
            
        Code Generation
        ---------------
        
        A SBE class generator script is available to generate a python file that contains the class definitions that match those
        that are created dynamically via the SBESchema.parse method.
        
        For help with using sbe_class_generator.py:
        
            sbe_class_generator.py --help
        
        An usage would be (from the generator directory):
        
        /sbe_class_generator.py --schema schema.xml --output generated.py --template ./sbe_message.tmpl
        
        This command will output a file called generated.py containing the class definitions that were dynamically created
        while parsing the 'schema.xml' file. The template file used to generated the classes is contained in sbe_message.tmpl.
        
        The generated.py file can simply be used for examining the class construction, or it can replace the contents of the
        generated.py file in the sbedecoder core project. By replacing the generated.py file in the sbedecoder package, a
        developer will get access to the class definitions in the IDE.
        
        In order to make use of the standard parser functionality using the generated code one should use the SBESchema.load
        method instead of the parse method.
        
        An example of how to do this is below and is contained in the mdp_book_builder.py script:
        
            try:
                from sbedecoder.generated import __messages__ as generated_messages
                mdp_schema.load(generated_messages)
            except:
                mdp_schema.parse(args.schema)
        
        
Keywords: sbe mdp3 orderbook message decoder
Platform: UNKNOWN
Classifier: License :: OSI Approved :: MIT License
Classifier: Programming Language :: Python :: 2
Classifier: Programming Language :: Python :: 2.7
Classifier: Programming Language :: Python :: 3
Classifier: Programming Language :: Python :: 3.6
Description-Content-Type: text/markdown
