As practice, I have been wanting to parse exchange data and try to build an order book algorithm on my own. I found some sample data from NYSE: ftp://ftp.nyse.com/Real%20Time%20Data%20Samples/NYSE%20XDP/.
I tried using tcpdump to read the pcap data. However, that does not get the underlying market data. Does anyone have suggestions on how I could parse the pcap file to read the market data? I am currently hoping to do this in C++ as most high frequency trading places use C++.
Any suggestions and recommendations will be very helpful. Thank you.