4 ms·
Veyron, I wish you a fine recovery from the last few days. :-) First off, I'd pay. Second, I'll donate as soon as the kickstarter page is up. Last, can you cla
by snikolic 15y ago
Veyron, I wish you a fine recovery from the last few days. :-)
First off, I'd pay. Second, I'll donate as soon as the kickstarter page is up. Last, can you clarify what the granularity of the data would be? Are we just talking about closing prices, periodic price updates during the day (e.g. every 5 minutes), real-time, etc.?
- veyron 15y agoIt will be the realtime data, exactly as how I receive it. I will start with NASDAQ first, mainly because their contracts are the easiest to digest (and because their turnaround time is generally awesome). To familiarize yourself with the format, check out the ITCH 4.1 specification. It quite literally shows every event as it happens (their internal timestamps have nanosecond resolution and they send a message every time a person sends an order, cancels an order, or induces a trade. They also have special messages for trades against hidden orders, trade breaks -- when the exchange decides a trade was invalid -- and other miscellaneous information that you may choose not to use :). I should note that I also inserted my timestamp (so you can see when we received the data)