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penberg / helix

Helix, a market data feed handler for C and C++.
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tool - resample ITCH to BBO file #5

Closed ghost closed 9 years ago

ghost commented 9 years ago

one of my most important applications to decent ITCH parser would be resampling data files into BBO (only best bid price, total size, # of orders, best ask, total size, # of orders) format. plus trades.

the output format would be simple fixed offsets with timestamp, current bid & ask, order book id in case of new quote. and timestamp, price, aggressor, size of a trade.

penberg commented 9 years ago

helix-trace works directly on files so you can use that for this. There's even a Python script to plot the sample data.

ghost commented 9 years ago

thanks

ghost commented 9 years ago

but helix-trace reads the data from network, would be great to be able to read ITCH from files instead of multicast groups. there is no need to do tcpreplay or alike

penberg commented 9 years ago

@divaykin Aah, right, I only implemented it for helix-svm in commit d3c06055b35fd730fb15e88fc160126b6c627b49. The capability is there, we just need to make helix-trace use it.

jvirtanen commented 9 years ago

@divaykin Take a look at NASDAQ Market Data Tools as well.

ghost commented 9 years ago

thanks @jvirtanen will do