-
Notifications
You must be signed in to change notification settings - Fork 8
Open
Labels
enhancementNew feature or requestNew feature or request
Description
IEX data is publicly available for free on their website, so it would be a nice thing to have so that more people could try it out. It would also be useful for teaching.
We are looking for the order-by-order feed (DEEP+), see DEEP+ Specification.
Historical data is available here: https://iextrading.com/trading/market-data/#hist-download
We should mimic the features available for the ITCH 5.0 format.
Specifically:
- Replicate all features in
src/meatpy/itch50, place code insrc/meatpy/deep_plus. - Replicate the sample code in
samples/itch50, place code insamples/deep_plus. Use the sample DEEP+ file in directorysamples/deep_plus/data. - Add relevant tests
- DO NOT update the documentation.
Metadata
Metadata
Assignees
Labels
enhancementNew feature or requestNew feature or request