Package: RITCH 0.1.27
David Zimmermann-Kollenda
RITCH: R Parser for the ITCH-Protocol
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.
Authors:
RITCH_0.1.27.tar.gz
RITCH_0.1.27.zip(r-4.5)RITCH_0.1.27.zip(r-4.4)RITCH_0.1.27.zip(r-4.3)
RITCH_0.1.27.tgz(r-4.4-x86_64)RITCH_0.1.27.tgz(r-4.4-arm64)RITCH_0.1.27.tgz(r-4.3-x86_64)RITCH_0.1.27.tgz(r-4.3-arm64)
RITCH_0.1.27.tar.gz(r-4.5-noble)RITCH_0.1.27.tar.gz(r-4.4-noble)
RITCH_0.1.27.tgz(r-4.4-emscripten)RITCH_0.1.27.tgz(r-4.3-emscripten)
RITCH.pdf |RITCH.html✨
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
Last updated 24 days agofrom:9bd51af48d. Checks:OK: 9. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Aug 25 2024 |
| R-4.5-win-x86_64 | OK | Aug 25 2024 |
| R-4.5-linux-x86_64 | OK | Aug 25 2024 |
| R-4.4-win-x86_64 | OK | Aug 25 2024 |
| R-4.4-mac-x86_64 | OK | Aug 25 2024 |
| R-4.4-mac-aarch64 | OK | Aug 25 2024 |
| R-4.3-win-x86_64 | OK | Aug 25 2024 |
| R-4.3-mac-x86_64 | OK | Aug 25 2024 |
| R-4.3-mac-aarch64 | OK | Aug 25 2024 |
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 page | Topics |
|---|---|
| Adds meta information (date and exchange) to an itch filename | add_meta_to_filename |
| Counts the messages of an ITCH-file | count_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 Server | download_sample_file |
| Downloads the stock directory (stock locate codes) for a given date and exchange | download_stock_directory |
| ITCH 50 Example Testing Dataset | ex20101224.TEST_ITCH_50 |
| Filters an ITCH file to another ITCH file | filter_itch |
| Formats a number of bytes | format_bytes |
| Returns the exchange from an ITCH-filename | get_exchange_from_filename |
| Returns the message class data for the message types | get_msg_classes |
| Compresses and uncompresses files to and from gz-archives | gunzip_file gzip_file gz_functions |
| Returns a data.table of the sample files on the server | list_sample_files |
| Opens the ITCH sample page | open_itch_sample_server |
| Opens the ITCH Specification PDF | open_itch_specification |
| Reads certain messages of an ITCH-file into a data.table | get_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 file | write_itch |