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
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;
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