Market Data Parser

A market data parser app written in Rust. It will that will parse and print quote messages from a market data feed, particularly from UDP packets stored from a standard pcap file. Features support to output parsed data to a CSV compatible format.

Getting started

Ensure rust is installed in your system.

Clone this repo:

$ git clone https://github.com/kencruz/market-data-parser.git && cd market-data-parser

Usage

Print out the market data feed. Sample data from the Kospi 200 market feed is included in the repo.

$ cargo run data/mdf-kospi200.20110216-0.pcap

To sort by quote accept time:

$ cargo run data/mdf-kospi200.20110216-0.pcap -r

To display results in a csv file format

$ cargo run data/mdf-kospi200.20110216-0.pcap -c

To save csv results in a file named output.csv:

$ cargo run data/mdf-kospi200.20110216-0.pcap -c > output.csv

Dependencies

• pcap-parser
• chrono
• getopts