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DavZim / RITCH

An R interface to the ITCH Protocol
https://davzim.github.io/RITCH/
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Error in new file name format #21

Closed DavZim closed 4 years ago

DavZim commented 4 years ago

Using a new file (ftp://emi.nasdaq.com/ITCH/BX_ITCH/March%2020/ file S030220-v50-bx.txt.gz), throws an error.

The issue is just a minor change in a pure R function which translates the filename to a date and extracts the exchange. I am just not sure what date format the file 030220-v50-bx.txt.gz has. The other files either follow YYYYMMDD.XXX_ITCH_50 or MMDDYYYY.NASDAQ_ITCH50. Given that the file was uploaded on march the 3rd would indicate a MMDDYY-v50-XXX format that I haven't seen before. I am just a bit thrown off by the March 20 name of the folder.

I am assuming that these S-files (^S\\d{6}-v\\d{2}-[a-z]+) have the format MMDDYY-... .

DavZim commented 4 years ago

Should be fixed with 018f2566373cbc4b700f16832b67d32cea566ffb and d8830d0b38b88c8b98f3428dacde12c49759014f (extracting exchanges works too)