Contents
IEX Parser Documentation
The IEX exchange offers two types of historical data: DEEP and TOPS, both provided as PCAP files capturing network activity (see IEX-PCAP file format for more details). This package provides a convenient API for extracting data from DEEP files . These files contain various types of messages, such as trade reports, bid submissions, security messages, etc. Currently, our package supports parsing two specific types of messages:
Trade reports - Detailed records of executed trades.
Price level updates - Information about changes in the bid and ask price levels.
Key benefits:
High-performance parsing: Significantly faster than other available Python parsers.
Multi-timestamp support: Provides three timestamps for each event.
Event timestamp: Indicates when the event happened in the matching engine.
Packet send timestamp: Indicates when the packet was sent.
Packet capture timestamp: Indicates when the packet was captured.
These timestamps provide insights into the time delay between event occurrence time and the data reception time, enabling more accurate backtesting.
Easy-to-use API: Provides a simple interface for extracting data from DEEP files.
OneTick compatibility: The output format is compatible with OneTick, a popular time-series database for financial data.
For detailed information on the essential software requirements, consult the Requirements section. To find instructions for installation, refer to Installation.
Acknowledgement
This project extends the work of the authors done as part of IE 421 course at University of Illinois Urbana-Champaign. The previous project repository can be found at this link (a private UIUC repository at the time of this writing).
Citing this Work
To cite this work in academic papers or publications, you can use the following BibTeX format:
@misc{bavisettyvasu,
author = {Bavisetty, Venkata Sai Narayana and Vasu, Karthik},
title = {IEX C++ Parser},
year = {2024},
publisher = {GitHub},
journal = {GitHub Repository},
howpublished = {\url{[Repository URL](https://github.com/Sai271828/iex-parser)}}
}
Note
This project is under active development.