We recently purchased tick data from the CME (Chicago Merchantile Exchange). The ticks come as string data, but our infrastructure reads fixfast ByteArray data. So the project is to write a java or groovy script to convert this purchased string data to byteArray data. The transformation to byte is via fixfast as implemented here: <[url removed, login to view]>, so you need to understand this library and write code to encrypt the string array as byteArray.
To complete the task, there are two deliverables.
1. Write code that encrypts strings to bytes and decrpyts bytes to strings on sample data, where both strings and bytes are given in a file I supply, [url removed, login to view] - note, you only need to validate messages with type X=35, as these are the only ones that contain ticks.
2. Write code that converts a set of tick files from string format to fix fast byteArray format. see [url removed, login to view] for an example. No gui is required - just a command line with an arguement that takes the zip file. The java should unzip it, process all the files inside in the correct order (highest-suffixed number .txt file always processed first, then processing all remaining .txt files in descending numerical order) and output a single file with the encrypted ticks.
I will also give you a pdf describing the message format. One tricky thing I want to alert you to is that the messages have repeating data blocks.
* * *This broadcast message was sent to all bidders on Thursday Jan 20, 2011 1:28:38 PM:
FYI, I added clarifications to the "Details" section based on feedback from some bidders. Also, I uploaded sample files. Bob