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Decoding Deutsche Börse Level 2 Data Stored as FIX/FAST

Article Quant Q&A · Author: user997112
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Summary

The document addresses how to open a compressed sample of Deutsche Börse Xetra Level 2 market data on Windows. After decompression, the user has a .dmp file that ordinary programs cannot interpret. The explanation identifies the file contents as a FIX/FAST stream, a structured format for transmitting market data, and says that viewing it requires a compatible FIX/FAST decoder.

A Windows FAST codec is suggested as a possible tool, but the response explicitly qualifies that recommendation because it was not tested on Windows. The document does not provide setup steps, a decoder configuration, or instructions for mapping decoded messages into order-book levels. Its useful takeaway is the format identification and the need for a protocol-aware decoder; successful decoding may still depend on having the correct codec and feed definitions.

Key ideas

  • The sample market-data dump contains a FIX/FAST stream.
  • A .dmp extension alone does not make the data readable in a general-purpose viewer.
  • Decoding requires software that supports the FIX/FAST protocol.
  • The suggested Windows codec is tentative and is not reported as tested.

Tags

Market microstructureExecutionHigh-frequency trading
Full text
# Deutsche Börse sample Level 2 data, how to view in Windows?


# Deutsche Börse sample Level 2 data, how to view in Windows?












DB has some sample Level 2 market data:

http://deutsche-boerse.com/mda/dispatch/en/listcontent/gdb_navigation/mda/200_market_data/650_historical_market_data/35_enbs_hist_data_xetra/EnBS_historical_data_Xetra.htm

In particular:

http://deutsche-boerse.com/mda/dispatch/en/listcontent/gdb_content_pool/imported_files/public_files/10_downloads/50_informations_services/47_enbs/EnBS_XTR13F1_20121126-0900-0905.dmp.gz

However, once I downloaded the file and un-zipped it in windows using Winrar I was presented with a .dmp file and no program could interpret it.

How can I view this data on Windows?

## Answer by hroptatyr (score 2)

https://quant.stackexchange.com/a/8844

It's an ordinary FIX/FAST stream for which you'd need a FIX/FAST decoder.

We're not using Windows, so don't take my word for it, but google thinks the FAST Antenna Codec for Windows could work.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.