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Add IEX support #24

@vgreg

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@vgreg

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 in src/meatpy/deep_plus.
  • Replicate the sample code in samples/itch50, place code in samples/deep_plus. Use the sample DEEP+ file in directory samples/deep_plus/data.
  • Add relevant tests
  • DO NOT update the documentation.

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