Jane Street Market Data Connector

Jane Street Data Connector based on FIX protocol.

Features

janestreetConnector Key

Instrument Types

Asset Class

Crypto

Technology

FIX

Feed Mode

Real-Time

Order Book Update Mode

SnapshotIncremental Updates

Order Book Type

Aggregated

✓

Level 1

✓

Level 2

✗

Level 3

✗

Trades

✗

Funding Rates

Parameter	Default Value	Description
Host	N/A	FIX server host.
Port	N/A	FIX server port.
SenderCompID	N/A	SenderCompID of the FIX session.
TargetCompID	N/A	TargetCompID of the FIX session.
TargetSubID	N/A	TargetSubID of the FIX session.
Exchange Name	JCX	Exchange name for this session.
Output Book Size	20	Size of the output book.
Snapshot Interval	10S	This property sets an interval in seconds between periodical Level2 snapshots which sent to Aggregator. Snapshots will be generated as soon as this threshold is exceeded AND the next increment message arrives. Conversely, snapshots are NOT generated every period if no data is coming in. Default value is 10 seconds.
Start Time	00:00:00	Start time of the session in the 24-hours format (HH:MM:SS). Default value is 00:00:00.
Start Day	MON	Day of week of session start. Default value is MON.
End Time	23:59:59	End time of the session in the 24-hours format (HH:MM:SS). Default value is 23:59:59.
End Day	SUN	Day of week of session end. Default value is SUN.
Time Zone	UTC	Time zone of start/end session time. Default value is UTC.
Daily/Weekly	true	If this parameter is true, the session will start/end every day.

Supported symbol notations:

Symbol Notation	Examples
CRYPTO/PAIR	XBT/USD
CRYPTO/PAIR	ETH/USD

To enable detailed logging, use these lines in the <QSHOME>/config/gflog.xml file:

<logger name="deltix.qsrv.hf.plugins.data.janestreet" level="TRACE">
  <appender-ref ref="safeAppender"/>
</logger>