fbpx

Python implementation of the NASDAQ ITCH 4.1 specification

(Last Updated On: May 29, 2014)
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 this 
NOTE 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!

Subscribe For Latest Updates

Sign up to best of business news, informed analysis and opinions on what matters to you.
Invalid email address
We promise not to spam you. You can unsubscribe at any time.

NOTE!

Check NEW site on stock forex and ETF analysis and automation

Scroll to Top