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PCAP Parser for Book Building 1.0
- Author pierreyvessojic
- Creation date
1) What is a PCAP file?
A PCAP (Packet Capture) file is a binary file format that records network traffic captured by tools like Wireshark, tcpdump, or other network monitoring software. It provides detailed packet-level data, including headers and payloads, making it invaluable for tasks such as network analysis, troubleshooting, and security investigations. PCAP files are commonly used to examine protocols, analyze traffic patterns, and identify issues like packet loss, latency, or malicious activities. They can be replayed or parsed with specialized software to reconstruct network interactions. In this program, the PCAP file captures packets specifically transported over the TCP layer, providing granular insights into the communication stream.
2) What does the program?
This program is a high-performance C++ application designed to parse PCAP files from the exchange network (currently implemented for the CBOE Futures Exchange), reconstruct Market-by-Order (MBO) order books, and identify trading opportunities such as arbitrage signals. It is optimized for macOS and Unix-like systems and uses CMake for build management.
3) What is MBO (Market-by-Order)?
MBO is a detailed representation of the order book at Level 3, showing individual orders, their prices, quantities, and timestamps, which allows for granular analysis of market activity.
4) What dependencies are required to run the program?
Dependencies include standard libraries for C++17 or later, along with any network packet parsing libraries (e.g., libpcap). See the GitHub repo for more info.
A PCAP (Packet Capture) file is a binary file format that records network traffic captured by tools like Wireshark, tcpdump, or other network monitoring software. It provides detailed packet-level data, including headers and payloads, making it invaluable for tasks such as network analysis, troubleshooting, and security investigations. PCAP files are commonly used to examine protocols, analyze traffic patterns, and identify issues like packet loss, latency, or malicious activities. They can be replayed or parsed with specialized software to reconstruct network interactions. In this program, the PCAP file captures packets specifically transported over the TCP layer, providing granular insights into the communication stream.
2) What does the program?
This program is a high-performance C++ application designed to parse PCAP files from the exchange network (currently implemented for the CBOE Futures Exchange), reconstruct Market-by-Order (MBO) order books, and identify trading opportunities such as arbitrage signals. It is optimized for macOS and Unix-like systems and uses CMake for build management.
3) What is MBO (Market-by-Order)?
MBO is a detailed representation of the order book at Level 3, showing individual orders, their prices, quantities, and timestamps, which allows for granular analysis of market activity.
4) What dependencies are required to run the program?
Dependencies include standard libraries for C++17 or later, along with any network packet parsing libraries (e.g., libpcap). See the GitHub repo for more info.