Hands-On Machine Learning for Algorithmic Trading

Reconstructing trades and the order book

The parsed messages allow us to rebuild the order flow for the given day. The 'R' message type contains a listing of all stocks traded during a given day, including information about initial public offerings (IPOs) and trading restrictions.

Throughout the day, new orders are added, and orders that are executed and canceled are removed from the order book. The proper accounting for messages that reference orders placed on a prior date would require tracking the order book over multiple days, but we are ignoring this aspect here.

The get_messages() function illustrates how to collect the orders for a single stock that affects trading (refer to the ITCH specification for details about each message, slightly ...