RSS 1 project tagged "nasdaq"

No download Website Updated 29 Aug 2011 itch41

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itch41 parses a file of level 3 NASDAQ stock exchange data, such as ftp://emi.nasdaq.com/ITCH/S030711-v41.txt.gz. This is mainly for demonstration purposes, lacking column domains, column constraints, data validation, timestamp calculations, stock symbol lookup for execution/cancel/delete messages, derived columns (e.g. for partitioning), and the general kinds of pre-processing one would expect from a production tick data loader.

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