The Chicago Mercantile Exchange (CME) publishes a file from its public FTP site (http://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+FTP+Site+Information) that can be used to determine information for receiving market data for futures contracts. The file is a FIX protocol file that contains security definitions for future, spread, and option contracts.
This is a FIX protocol parser to answer specific set of questions:
- How many instruments of each security type (tag 167) exist?
- How many futures (tag 167) instruments exist in each product complex (tag 462)?
- What are the names (tag 55) of the earliest four expirations (tag 200) for the futures (tag 167) instruments with asset (tag 6937) 'GE' and have zero legs (tag 555)?