phil8192 / limit-order-book Goto Github PK

Hello. For research purposes, I need a script that can parse a message flow of Level II limit order data (order, delete, modify, trades etc), and sample the order book to a CSV for each ticker symbol (stock) in the following format;

• Date.
• Day of week.
• Timestamp, milliseconds from midnight (interval to be set in script command, 1 sec to 10 min interval).
• bidprice_level_1
• bidvolume_level_1
• askprice_level_1
• askvolume_level_1
• bidprice_level_2
• etc.. to level 20.

The messages are converted from Nasdaq ITCH 5.0 and are loaded into an R data.table, or exported to CSV. I have this already from another script.

Can your script do this sampling? Or can it be easily modified to do the sampling? Or, do you know some other script that can? thanks

Hi,

It appears that parse_ob.sh is missing, and has never been in the repo. Would it be possible for you to add it?

Thanks,

Jon

Hi,

Thank you for this amazing project. I try to get data from this project and analyze it with your shiny-ob-analytics.
But the problem it's I can't find the ob.log file, normally create via stderr (2>ob.log?)
So where is the famous ob.log? :)

And the file replay.sh (./replay.sh <orders.log> <boolean: print-order-book>)is not in the repository.

Thank you for all,

Kind regards,