ex20101224.TEST_ITCH_50: ITCH 50 Example Testing Dataset

In DavZim/RITCH: R Parser for the ITCH-Protocol

ITCH 50 Example Testing Dataset

Description

ITCH 50 Example Testing Dataset

ex20101224.TEST_ITCH_50

The test dataset contains artificial trading data for three made up stocks: ALC, BOB, and CHAR.

The dataset is used in the examples and unit tests of the package.

The data contains the following count of messages:

• 6 system event (message type S)

• 3 stock directory (message type R)

• 3 trading status (message type H)

• 5000 orders (4997 message type A and 3 F)

• 2000 modifications (198 F, 45 X, 1745 D, and 12 U message types)

• 5000 trades (message type P)

The file is also available as ex20101224.TEST_ITCH_50.gz.

To get real sample ITCH datasets, see the download_sample_file() function.

Examples

file <- system.file("extdata", "ex20101224.TEST_ITCH_50", package = "RITCH")

sys <- read_system_events(file)

DavZim/RITCH documentation built on Aug. 25, 2024, 8:37 p.m.