martinobdl / itch Goto Github PK

From the readme, it seems if we want to generate the output, we need to specify the stock symbol for which we want the output.
What if we want to generate output for all the stock symbols at once?

Hi,

It seems like the ftp url shown in the README is not working. Are you aware of any other similar link from nasdaq?

Hello, I recently started reading this book for trading using machine learning approaches. I encountered a problem(too slow code) when trying to use a python notebook from the book code repo to parse a 12GB ITCH data file found in ftp://emi.nasdaq.com/ITCH/ (takes up to 4 hours on a 4-cpu GCP instance to parse the file)
So I searched about a c++ solution and came across your repo. I have a few questions ...

• A) What is the significance of this data? I read the technical specification but I failed to understand what this data is about / how important this data is?

• B) What is the timeline or in other words is this some sort of historical data that covers a time period from let's say 2000-2020 or this is something else?

• C) How fast is your code for achieving the same task(parsing a 12GB .bin file on an i5 macbook pro for example)?

• D) The python notebook I mentioned earlier parses the file using the following (simplified description) loop forever manner:

  • read 2 bytes(message length)
  • read 1 byte(message type)
  • read message length - 1
  • process further & store data

I did not read your code yet but do you do something similar(sequential processing) or there is some other workaround ex: reading at a large buffer size? (I'm asking because I thought of re-implementing the solution for fun)

Thank you for taking the time reading this

When I entered make command, the error was [Makefile:73: build/OrderBook.o]. It seems like the OrderBook.o file is missing.

I found the command to obtain a sample file should be as follows
wget ftp://anonymous:@emi.nasdaq.com/ITCH/Nasdaq\ PSX\ ITCH/20190327.PSX_ITCH_50.gz -P ./data/binary
It seems the directory's name has been changed to Nasdaq PSX ITCH from PSX_ITCH

I don't know how to download the C++ executable, I think it is erased.

How can I get the program?

Thank you :)