TotalViewITCH.jl

Colin Swaney, Senior Research Software Engineer

Stock market participants submit billions of requests to buy and sell assets each day. Exchanges provide access to low-latency data feeds detailing market activity to market makers and high-frequency traders to inform algorithmic trading strategies. Nasdaq makes such data available to academic researchers on a historical basis, but in a format that is optimized for network traffic, not analysis. TotalViewITCH aims to standardize the conversion of raw Nasdaq TotalView-ITCH files into research-ready formats. Written in Julia, it is capable of parsing billions of limit-order book events with the efficiency of a compiled language and the simplicity of a scripting language.

GitHub

JuliaCon