cboe_pitch

Python Parser and Creator of CBOE PITCH Messages

Based on

https://cdn.cboe.com/resources/membership/US_EQUITIES_OPTIONS_MULTICAST_PITCH_SPECIFICATION.pdf

Create CBOE Pitch Messages

Good for generating test messages for your CBOE Pitch Parser

Parse CBOE Pitch Messages

Good for testing your feed parser

• Using as a library

from pitch import AddOrderLong
message = AddOrderLong.from_parms(time_offset=447_000,
                                  order_id='ORID0001',
                                  side='B',
                                  quantity=20_000,
                                  symbol='AAPL',
                                  price=0.9050)

print(f'{message.get_bytes()}')

See Also

I am using the code in this module to test a LabVIEW FPGA CBOE BATS Pitch Feed Handler and Filter

https://github.com/fpganow/Market.Data.Bats.Parser/blob/main/ip_export/bats_loader.py

Usage

See the tests

Supported Message Types

Sequenced Unit Header Heartbeat

Message Type	Type	Source File	Tests	LabVIEW
Time	0x20	/pitch/time.py	✔️	✔️
Add Order Long	0x21	/pitch/add_order.py	✔️	✔️
Add Order Short	0x22	/pitch/add_order.py	✔️	✔️
Add Order Expanded	0x2f	/pitch/add_order.py	✔️	✔️
Order Executed	0x23	/pitch/order_executed.py	✔️	✔️
Order Executed at Price/Size	0x24	/pitch/order_executed.py	✔️	✔️
Reduce Size (long)	0x25	/pitch/reduce_size.py	✔️	✔️
Reduce Size (short)	0x26	/pitch/reduce_size.py	✔️	✔️
Modify Order (long)	0x27	/pitch/modify.py	✔️	✔️
Modify Order (short)	0x28	/pitch/modify.py	✔️	✔️
Delete Order	0x29	/pitch/delete_order.py	✔️	✔️
Trade (long)	0x2a	/pitch/trade.py	✔️	✔️
Trade (short)	0x2b	/pitch/trade.py	✔️	✔️
Trade (expanded)	0x30	/pitch/trade.py	✔️	✔️

Message Types not implemented

• Unit Clear
• Trade Break
• End of Session
• Trading Status
• Login (messageType = 0x01)
• Login Response (messageType = 0x02)
• Gap Request (messageType = 0x03)
• Gap Response (messageType = 0x04)

Options

• not implemented -