December 2018
Beginner to intermediate
684 pages
21h 9m
English
Content preview from Hands-On Machine Learning for Algorithmic Trading
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Parsing binary ITCH messages
The ITCH v5.0 specification declares over 20 message types related to system events, stock characteristics, the placement and modification of limit orders, and trade execution. It also contains information about the net order imbalance before the open and closing cross.
The Nasdaq offers samples of daily binary files for several months. The GitHub repository for this chapter contains a notebook, build_order_book.ipynb that illustrates how to parse a sample file of ITCH messages and reconstruct both the executed trades and the order book for any given tick.
The following table shows the frequency of the most common message types for the sample file date March 29, 2018:
|
Message type |
Order book impact |