Summary of CBOE Book Viewer Collector

This document provides a detailed overview of the CBOE Book Viewer Collector, a system designed to continuously monitor and collect market data for the SPY symbol on the EDGX venue. The collector operates 24/7, polling data at specified intervals and storing it in both CSV and JSON formats.

Key Features

• Continuous Operation: The collector runs continuously, polling data every second during market hours (04:00 to 20:00 New York time).
• Data Storage: It writes CSV files every second during live sessions and JSON files every minute, along with immediate JSON snapshots when data quality changes occur.
• Session Management: The system handles different market sessions (Closed, Early, Pre-Market, Regular, After-Hours) and adjusts polling intervals accordingly.
• Error Handling: The collector is designed to recover from browser or page failures by recreating the browser session as needed.

Technical Specifications

The collector is implemented in C# and utilizes the Playwright library for browser automation. Key components include:

• Polling Intervals: 1 second during open sessions and 60 seconds during closed sessions.
• Data Freshness: Data is flagged as stale if it is older than 600 seconds.
• Viewport Settings: The browser is set to a specific viewport size to ensure proper rendering of the CBOE page.

Data Collection Process

The data collection process involves several steps:

1. Establish a browser session and navigate to the CBOE Book Viewer URL.
2. Dismiss any cookie banners and select the appropriate venue for data collection.
3. Capture the market data from the page, including bids, asks, and trades.
4. Store the captured data in both CSV and JSON formats for further analysis.
5. Monitor the market state and handle any errors or stale connections by reloading the page as necessary.

Data Structure

The captured market data includes:

• Best Bid and Ask: The highest bid and lowest ask prices.
• Trade Prints: Details of the latest trades including time, price, and shares.
• Market Depth: The depth of bids and asks at various levels.
• Data Quality Indicators: Flags indicating the freshness and completeness of the data.

Error Logging

The collector includes a logging mechanism to capture errors and warnings during operation, ensuring that issues can be diagnosed and addressed promptly.

Conclusion

The CBOE Book Viewer Collector is a robust tool for monitoring market data in real-time, providing valuable insights for trading and investment analysis. Its continuous operation and comprehensive data collection capabilities make it an essential component for traders focusing on the SPY symbol.