Package: RITCH 0.1.30

David Zimmermann-Kollenda

RITCH: Parser for the ITCH Protocol

Efficiently parses, filters, and writes binary ITCH files (Version 5.0) containing detailed financial transactions as distributed by NASDAQ to a data.table. Includes functions to interact with NASDAQ data services at <https://emi.nasdaq.com/ITCH/> and <https://emi.nasdaq.com/ITCH/Stock_Locate_Codes/>.

Authors:David Zimmermann-Kollenda [aut, cre]

RITCH_0.1.30.tar.gz
RITCH_0.1.30.zip(r-4.7)RITCH_0.1.30.zip(r-4.6)RITCH_0.1.30.zip(r-4.5)
RITCH_0.1.30.tgz(r-4.6-x86_64)RITCH_0.1.30.tgz(r-4.6-arm64)RITCH_0.1.30.tgz(r-4.5-x86_64)RITCH_0.1.30.tgz(r-4.5-arm64)
RITCH_0.1.30.tar.gz(r-4.7-arm64)RITCH_0.1.30.tar.gz(r-4.7-x86_64)RITCH_0.1.30.tar.gz(r-4.6-arm64)RITCH_0.1.30.tar.gz(r-4.6-x86_64)
RITCH_0.1.30.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
RITCH/json (API)
NEWS

# Install 'RITCH' in R:
install.packages('RITCH', repos = c('https://davzim.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/davzim/ritch/issues

Pkgdown/docs site:https://davzim.github.io

Uses libs:
  • c++– GNU Standard C++ Library v3

On CRAN:

Conda:

cppitchrdatatablecpp

4.56 score 20 stars 18 scripts 487 downloads 45 exports 9 dependencies

Last updated from:8ac945a50f. Checks:13 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-arm64OK151
linux-devel-x86_64OK137
source / vignettesOK182
linux-release-arm64OK147
linux-release-x86_64OK140
macos-release-arm64OK152
macos-release-x86_64OK252
macos-oldrel-arm64OK135
macos-oldrel-x86_64OK248
windows-develOK142
windows-releaseOK186
windows-oldrelOK158
wasm-releaseOK135

Exports:add_meta_to_filenamecount_ipocount_luldcount_market_participant_statescount_messagescount_modificationscount_mwcbcount_noiicount_orderscount_reg_shocount_rpiicount_stock_directorycount_system_eventscount_tradescount_trading_statusdownload_sample_filedownload_stock_directoryfilter_itchformat_bytesget_date_from_filenameget_exchange_from_filenameget_modificationsget_msg_classesget_ordersget_tradesgunzip_filegzip_filelist_sample_filesopen_itch_sample_serveropen_itch_specificationread_iporead_itchread_luldread_market_participant_statesread_modificationsread_mwcbread_noiiread_ordersread_reg_shoread_rpiiread_stock_directoryread_system_eventsread_tradesread_trading_statuswrite_itch

Dependencies:bitbit64data.tablelatticenanotimeRcppRcppCCTZRcppDatezoo

Readme and manuals

Help Manual

Help pageTopics
Adds meta information (date and exchange) to an itch filenameadd_meta_to_filename
Counts the messages of an ITCH-filecount_functions count_ipo count_luld count_market_participant_states count_messages count_modifications count_mwcb count_noii count_orders count_reg_sho count_rpii count_stock_directory count_system_events count_trades count_trading_status
Downloads a sample ITCH File from NASDAQs Serverdownload_sample_file
Downloads the stock directory (stock locate codes) for a given date and exchangedownload_stock_directory
ITCH 50 Example Testing Datasetex20101224.TEST_ITCH_50
Filters an ITCH file to another ITCH filefilter_itch
Formats a number of bytesformat_bytes
Returns the exchange from an ITCH-filenameget_exchange_from_filename
Returns the message class data for the message typesget_msg_classes
Compresses and uncompresses files to and from gz-archivesgunzip_file gzip_file gz_functions
Returns a data.table of the sample files on the serverlist_sample_files
Opens the ITCH sample pageopen_itch_sample_server
Opens the ITCH Specification PDFopen_itch_specification
Reads certain messages of an ITCH-file into a data.tableget_modifications get_orders get_trades read_functions read_ipo read_itch read_luld read_market_participant_states read_modifications read_mwcb read_noii read_orders read_reg_sho read_rpii read_stock_directory read_system_events read_trades read_trading_status
Writes a data.frame or a list of data.frames of ITCH messages to filewrite_itch