ex20101224.TEST_ITCH_50

Allows to efficiently parse, filter, and write binary ITCH Files (Version 5.0) containing detailed financial transactions as distributed by NASDAQ to an R data.table.

David Zimmermann

RITCH

R Parser for the ITCH-Protocol

David Zimmermann-Kollenda

ex20101224.TEST_ITCH_50 function

The test dataset contains artificial trading data for three made up stocks:
<code>ALC</code>, <code>BOB</code>, and <code>CHAR</code>.
The dataset is used in the examples and unit tests of the package.
The data contains the following count of messages:<ul>
<li>6 system event (message type <code>S</code>)</li>
<li>3 stock directory (message type <code>R</code>)</li>
<li>3 trading status (message type <code>H</code>)</li>
<li>5000 orders (4997 message type <code>A</code> and 3 <code>F</code>)</li>
<li>2000 modifications (198 <code>F</code>, 45 <code>X</code>, 1745 <code>D</code>, and 12 <code>U</code> message types)</li>
<li>5000 trades (message type <code>P</code>)</li>
</ul>The file is also available as <code>ex20101224.TEST_ITCH_50.gz</code>.
To get real sample ITCH datasets, see the <code>download_sample_file()</code>
function.

ITCH 50 Example Testing Dataset — ex20101224.TEST_ITCH_50

The test dataset contains artificial trading data for three made up stocks:
<code>ALC</code>, <code>BOB</code>, and <code>CHAR</code>.
The dataset is used in the examples and unit tests of the package.
The data contains the following count of messages:<ul>
<li>6 system event (message type <code>S</code>)</li>
<li>3 stock directory (message type <code>R</code>)</li>
<li>3 trading status (message type <code>H</code>)</li>
<li>5000 orders (4997 message type <code>A</code> and 3 <code>F</code>)</li>
<li>2000 modifications (198 <code>F</code>, 45 <code>X</code>, 1745 <code>D</code>, and 12 <code>U</code> message types)</li>
<li>5000 trades (message type <code>P</code>)</li>
</ul>

The file is also available as <code>ex20101224.TEST_ITCH_50.gz</code>.
To get real sample ITCH datasets, see the <code>download_sample_file()</code>
function.

ex20101224.TEST_ITCH_50: ITCH 50 Example Testing Dataset

Description

Arguments

ex20101224.TEST_ITCH_50

Examples