Python implementation of the NASDAQ ITCH 4.1 specification From Chris Reeves: This is a python (2.6) implementation of the NASDAQ ITCH 4.1 specification. The spec can be found at http://nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTV-ITCH-V4_1.pdf This is meant to be an educational project. While this can process about 8 gigs (on my quadcore anyways) in a little over an hour, the message queue just is not fast enough to handle the information to make nanosecond speed decisions. I still hope that it can serve as a guide to how ITCH data is received, and allow users to test ideas based on historical information. Join my FREE newsletter to learn more about projects like thisNOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!
Python implementation of the NASDAQ ITCH 4.1 specification
(Last Updated On: May 29, 2014)
