Summary of CBOE Book Viewer Collector
The article discusses a software program designed to continuously collect and analyze market 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 is structured to handle various market sessions, including early, pre-market, regular, and after-hours trading.
Key Features
- Continuous Operation: The program runs continuously, polling data every second during market hours (04:00 to 20:00 New York time) and every minute during closed sessions.
- Data Output: It writes CSV files every second during live sessions and JSON files every minute, along with immediate JSON outputs when there are changes in data quality or parsing state.
- Market Session Handling: The program identifies the current market session and adjusts its polling frequency accordingly, ensuring efficient data collection.
- Error Handling: The software is designed to recover from browser or page failures by recreating the browser session as needed.
Data Collection Process
The program utilizes the Playwright library to automate browser interactions. It opens the CBOE book viewer page, dismisses cookie banners, and selects the appropriate trading venue. The data is parsed from the DOM (Document Object Model) and includes details such as best bid and ask prices, trade prints, and market depth.
Data Quality and Logging
The program assesses the quality of the collected data based on the freshness of timestamps and the completeness of the parsed data. It logs various events, including errors and session transitions, to ensure transparency and facilitate troubleshooting.
Conclusion
This CBOE book viewer collector is a robust tool for real-time market data analysis, providing traders and analysts with critical insights into market conditions. Its design emphasizes reliability, data integrity, and adaptability to changing market environments.