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.

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