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PacktPublishing / Machine-Learning-for-Algorithmic-Trading-Second-Edition_Original

Machine Learning for Algorithmic Trading, Second Edition - published by Packt
MIT License
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Issue with getting ITCH data #17

Closed mathisjander closed 1 year ago

mathisjander commented 1 year ago

Hi @stefan-jansen,

I am trying to execute the code in _01_parse_itch_order_flowmessages. The code cell which is supposed to download the ITCH data returns the following error:

URLError: <urlopen error ftp error: TimeoutError(60, 'Operation timed out')>

What is causing this? Is it possible that the file is no longer available or the ftp link deprecated?

Thanks in advance!

mathisjander commented 1 year ago

I figured out that you can also download the data manually here.

Update:

if you replace the ftp link in FTP_URL with "https://emi.nasdaq.com/ITCH/Nasdaq%20ITCH/" it will work.