Summary of CBOE Book Viewer Collector

The article discusses a software program designed to continuously collect and analyze order flow data from the CBOE (Chicago Board Options Exchange) for the SPY (S&P 500 ETF) trading symbol. The program operates 24/7, polling data from the CBOE's book viewer at specified intervals, and outputs the data in both CSV and JSON formats.

Key Features

• Continuous Operation: The program runs continuously, polling data every second during market hours (from 04:00 to 20:00 New York time) and once per minute during closed sessions.
• Data Output: It writes a complete top-five book to a CSV file every second and a full JSON snapshot every minute, along with immediate snapshots when data quality changes occur.
• Session Management: The program distinguishes between different market sessions (closed, early, pre-market, regular, and after-hours) and adjusts its polling frequency accordingly.
• Error Handling: It includes robust error handling and recovery mechanisms, such as recreating the browser session in case of failures.

Technical Details

The program is built using C# and utilizes the Playwright library for browser automation. It captures data from the CBOE's web interface, processes it, and stores it in a structured format. The program also implements various checks to ensure data freshness and quality, flagging stale data as necessary.

Data Collection Process

The data collection process involves:

1. Opening the CBOE book viewer page and preparing it for data extraction.
2. Polling the page for updates and capturing the current state of the order book.
3. Parsing the captured data to extract relevant information such as best bids, asks, and trade prints.
4. Writing the parsed data to CSV and JSON files for further analysis.

Conclusion

The CBOE Book Viewer Collector is a sophisticated tool for traders and analysts looking to monitor and analyze order flow data in real-time. Its continuous operation, combined with robust error handling and data management features, makes it a valuable asset for anyone involved in trading the SPY ETF.