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stefan-jansen / machine-learning-for-trading

Code for Machine Learning for Algorithmic Trading, 2nd edition.
https://ml4trading.io
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MESSAGE_TYPES ON nyse order book construction #266

Closed Bandita88 closed 1 year ago

Bandita88 commented 1 year ago

Hi everyone, i am tring to construct the nyse order book using the https://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHSpecification.pdf But i don't understad something... i have to copy and past ALL the data in this link in a file and so on import on jupyter? Because in the write code i see one first table example like this format belove: NAME OFFSET LENGHT VALUE NOTES XXXX XXXX XXXXX XXXXX XXXXX

and after i find also an other one table with the single tipe message specify. MESSAGE_TYPE VALUE/DESCRIPTION XXXXX XXXXXX

Could you give me an help and explanantion? and maybe link for the message_types file?

Really thanks

Also, i am using the directly connection with the itch link withouth downloading the file. Is it correct? or i must download the file and then do i accede with the http url?

Bandita88 commented 1 year ago

I have resolve the problem just finding the message_type file from the repositery. i was searching to construct the file on my hands.

ishikabansal77 commented 1 year ago

Hey, could you please help me where did you find message_types.xls file?

stefan-jansen commented 1 year ago

The file is here: it's right here: 02_market_and_fundamental_data/01_NASDAQ_TotalView-ITCH_Order_Book. Hope this helps.

ghostMike666 commented 1 year ago

No please no More

El sáb., 15 de julio de 2023 15:22, Stefan Jansen @.***> escribió:

The file is here: it's right here: 02_market_and_fundamental_data/01_NASDAQ_TotalView-ITCH_Order_Book. Hope this helps.

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