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vgreg / MeatPy

Market Empirical Analysis Toolbox for Python
BSD 3-Clause "New" or "Revised" License
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Message Type J #1

Closed ChrisPetersen1098 closed 1 year ago

ChrisPetersen1098 commented 3 years ago

I was trying to parse 07302019.NASDAQ_ITCH50.gz, which is a sample on the NASDAQ ftp site. It parsed 96million messages and then failed providing the following message:

Exception: ('ITCH50MessageParser:ITCH_factory', 'Unknown message type: J')

I looked up message type J on NASDAQ and it is "Indicates the auction collar thresholds within which a paused security can reopen following a LULD Trading Pause".

Clearly a rare message. Any way to get around this issue?

vgreg commented 3 years ago

Hi Chris, Yes, I'm aware of the issue, it's a message type that was added in 2017 after we wrote the code for 5.0. I have a fix almost ready, I'll try to push it soon.

Best, Vincent

On Wed, Sep 22, 2021 at 4:14 PM ChrisPetersen1098 @.***> wrote:

I was trying to parse 07302019.NASDAQ_ITCH50.gz, which is a sample on the NASDAQ ftp site. It parsed 96million messages and then failed providing the following message:

Exception: ('ITCH50MessageParser:ITCH_factory', 'Unknown message type: J')

I looked up message type J on NASDAQ and it is "Indicates the auction collar thresholds within which a paused security can reopen following a LULD Trading Pause".

Clearly a rare message. Any way to get around this issue?

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vgreg commented 3 years ago

Hi Chris, I push the fix to the master branch. I'll try to update the package on pipy this week, but in the meantime you can just get it from the repo.