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Open-Markets-Initiative / wireshark-lua

Source generated cross platform Wireshark dissectors
GNU General Public License v3.0
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B3 (Brazilian Exchange) Parsers #48

Closed hilton-98 closed 1 year ago

hilton-98 commented 1 year ago

Could you add the WireShark plugins for the B3 Market Data parsers?

If so, these links might be useful,

B3 documentation for Market Data Feeds: https://clientes.b3.com.br/en_us/roadmap/about/binary-market-data.htm XML file with B3 parser definitions: https://clientes.b3.com.br/data/files/E2/01/50/7C/286B8810C1C18788180808FF/b3-market-data-messages-1.6.0.xml

B3 updated their encoding to use SBE, and use a very similar protocol to the CME for their Market Data feeds.

Open-Markets-Initiative commented 1 year ago

Will do shortly. Any chance you have a pcap? Because the headers are usually only partially defined we have never generated a SBE protocol correctly on the first try.

hilton-98 commented 1 year ago

Great! B3 actually supplies some pcaps, at that same link. They have three different streams:

  1. Incremental stream
  2. Snapshot stream
  3. Instrument definition stream

pcaps for each can be found at the following links:

  1. Incremental: https://mktdatabinario.z15.web.core.windows.net/04042023_PCAPS/20220822_MBO_072_Incremental_FeedA.zip
  2. Snapshot: https://mktdatabinario.z15.web.core.windows.net/04042023_PCAPS/20220822_MBO_072_SnapshotRecovery.zip
  3. Instrument Definition: https://mktdatabinario.z15.web.core.windows.net/04042023_PCAPS/20220822_MBO_072_InstrumentDefinition.zip

Let me know if those don't work for you! Also, they're zipped folders with 1 file inside, but the files are quite large once you unzip them (around 4-6 GBs each). Just a heads up.

Open-Markets-Initiative commented 1 year ago

Thanks for the links, I am testing the beta of the BinaryUmdf. Should have something soon.

hilton-98 commented 1 year ago

Fantastic! Thank you.

Open-Markets-Initiative commented 1 year ago

I thought I would be done by now, but this sbe xml is somewhat different around nulls. I think another day or so.

hilton-98 commented 1 year ago

Ok. Thanks for keeping me updated! That sounds good.

Open-Markets-Initiative commented 1 year ago

I have the BinaryUmdf parsing but there is something strange in a few of the messages. One of two things is likely, either the data doesn't match the xml or there is something I am reading incorrectly (some of the field sizes are different).

The xml has: id="2" version="7" while the data has 2, 5

I reached out to the exchange. However, if you have or know where I can find the earlier versions of the protocols, I would be able to test and post. I am going to spend one more day on this and post for a second set of eyes.

Open-Markets-Initiative commented 1 year ago

Probably needs more work but is likely mostly done:

https://github.com/Open-Markets-Initiative/wireshark-lua/commit/6de97106911149d164db46bbf27e01ed0ec7b586

hilton-98 commented 1 year ago

Thank you! There are some problems with it still (I keep getting a "Range is out of bounds" error) but at least I can see some of the messages are decoding correctly in Wireshark. Sorry for the late response. I don't have any of the earlier versions, and I don't know where to find them. I only started looking into this exchange recently and haven't developed for it before.