Thursday, 12 May 2011

Informational Note: Developing and back-testing successful algorithmic trading strategies for Eurex

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Informational Note:

Developing and back-testing successful algorithmic trading strategies for Eurex


London: Thursday 12th May 2011 – This is an OnixS informational reference note for Eurex® users: Deutsche Börse offer an "EnBS Historical Data Eurex®" service - access and sample data files are available online at here.

This Eurex service includes:

  • Original and complete copy order book information up to order book depth 20 from the Eurex® Enhanced Broadcast Solution data feed incl. quotes, trades and reference data
  • All trades and quotes with original time stamp in milliseconds
  • Format: FIX 5.0 FAST 1.1

OnixS provides the OnixS directConnect: Eurex EBS and Eurex ETS high performance DMA solutions.

The purpose of this info-note is that OnixS also have a available a sample .NET source code "EurexDecode" project that decodes the Eurex EBS data stream using the provided binary data file as a source.

The sample project requires the release 2.74.0.0, or later, of the OnixS selfConnect: .NET FIX Engine .Net 4/x64 version - available here if you don't already have it - http://www.onixs.biz/downloads

The "EurexDecode" sample is a Visual Studio 2010 project configured for .the NET Framework 4, all required files (FIX dialect, FAST template & sample source data) are included.

Usage notes:

  • Reference to appropriate FIX Engine assembly have to be added to the sample project manually
  • Current license files are in bin\x64\Debug & bin\x64\Release directories. You should replace these files with your own license, or those from the appropriate selfConnect: .NET download.

The "EurexDecode" sample project download is available upon request via info@onixs.biz.

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