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 various formats for analysis.

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 writes when data quality changes occur.
• Session Management: The system distinguishes between different market sessions (Closed, Early, Pre-Market, Regular, After-Hours) and adjusts its polling frequency 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 older than 600 seconds is flagged as stale, and the system attempts to reload the page if no updates are detected for 300 seconds.
• Data Formats: The collector outputs data in CSV and JSON formats, with specific structures for market data, including best bids, asks, and trade prints.

Data Collection Process

The data collection process involves several steps:

1. Establish a browser session and navigate to the CBOE market statistics page for SPY.
2. Poll the page for market data, capturing the top five bids and asks, along with trade information.
3. Store the captured data in CSV and JSON formats, ensuring data quality and freshness are monitored.
4. Handle any errors or stale connections by reloading the page and resetting the data capture state as necessary.

Market Session Management

The collector identifies the current market session based on the time of day and day of the week. It adjusts its behavior accordingly, ensuring efficient data collection during active trading hours while managing resources during closed sessions.

Conclusion

The CBOE Book Viewer Collector is a robust tool for monitoring market data for the SPY symbol on the EDGX venue. Its continuous operation, error handling capabilities, and structured data output make it a valuable asset for traders and analysts seeking real-time market insights.