RITCH (version 0.1.26)

count_functions: Counts the messages of an ITCH-file

Description

Counts the messages of an ITCH-file

Usage

count_messages(
  file,
  add_meta_data = FALSE,
  buffer_size = -1,
  quiet = FALSE,
  force_gunzip = FALSE,
  gz_dir = tempdir(),
  force_cleanup = TRUE
)
count_orders(x)
count_trades(x)
count_modifications(x)
count_system_events(x)
count_stock_directory(x)
count_trading_status(x)
count_reg_sho(x)
count_market_participant_states(x)
count_mwcb(x)
count_ipo(x)
count_luld(x)
count_noii(x)
count_rpii(x)

Value

a data.table containing the message-type and their counts for count_messages

or an integer value for the other functions.

Arguments

file

the path to the input file, either a gz-file or a plain-text file

add_meta_data

if the meta-data of the messages should be added, defaults to FALSE

buffer_size

the size of the buffer in bytes, defaults to 1e8 (100 MB), if you have a large amount of RAM, 1e9 (1GB) might be faster

quiet

if TRUE, the status messages are supressed, defaults to FALSE

force_gunzip

only applies if file is a gz-file and a file with the same (gunzipped) name already exists. if set to TRUE, the existing file is overwritten. Default value is FALSE

gz_dir

a directory where the gz archive is extracted to. Only applies if file is a gz archive. Default is tempdir().

force_cleanup

only applies if file is a gz-file. If force_cleanup=TRUE, the gunzipped raw file will be deleted afterwards.

x

a file or a data.table containing the message types and the counts, as outputted by count_messages

Details

• count_orders: Counts order messages. Message type A and F

• count_trades: Counts trade messages. Message type P, Q and B

• count_modifications: Counts order modification messages. Message type E, C, X, D, and U

• count_system_events: Counts system event messages. Message type S

• count_stock_directory: Counts stock trading messages. Message type R

• count_trading_status: Counts trading status messages. Message type H and h

• count_reg_sho: Counts messages regarding reg SHO. Message type Y

• count_market_participant_states: Counts messages regarding the status of market participants. Message type L

• count_mwcb: Counts messages regarding Market-Wide-Circuit-Breakers (MWCB). Message type V and W

• count_ipo: Counts messages regarding IPOs. Message type K

• count_luld: Counts messages regarding LULDs (limit up-limit down) auction collars. Message type J

• count_noii: Counts Net Order Imbalance Indicatio (NOII) messages. Message type I

• count_rpii: Counts Retail Price Improvement Indicator (RPII) messages. Message type N

Examples

file <- system.file("extdata", "ex20101224.TEST_ITCH_50", package = "RITCH")
count_messages(file)
count_messages(file, add_meta_data = TRUE, quiet = TRUE)

# file can also be a .gz file
gz_file <- system.file("extdata", "ex20101224.TEST_ITCH_50.gz", package = "RITCH")
count_messages(gz_file, quiet = TRUE)

# count only a specific class
msg_count <- count_messages(file, quiet = TRUE)

# either count based on a given data.table outputted by count_messages
count_orders(msg_count)

# or count orders from a file and not from a msg_count
count_orders(file)

### Specific class count functions are:
count_orders(msg_count)
count_trades(msg_count)
count_modifications(msg_count)
count_system_events(msg_count)
count_stock_directory(msg_count)
count_trading_status(msg_count)
count_reg_sho(msg_count)
count_market_participant_states(msg_count)
count_mwcb(msg_count)
count_ipo(msg_count)
count_luld(msg_count)
count_noii(msg_count)
count_rpii(msg_count)