Tick Feed Parser

Overview

Tick Feed Parser is a Python tool for parsing NASDAQ ITCH tick data and calculating the Volume Weighted Average Price (VWAP) for each symbol per hour. It is designed for high-performance, large-scale tick data analysis.

Features

• Efficient parsing of compressed NASDAQ ITCH files
• VWAP calculation per symbol, per hour
• Modular design for easy extension
• Output results to configurable directories (default: output/)

Usage

1. Download the NASDAQ ITCH file you want to parse

   • Place the file in the data/ directory. The default file is 01302019.NASDAQ_ITCH50.gz.
   • You can use this link to download the default file: NASDAQ ITCH Sample.

2. Set up virtual envrionment

   python3 -m venv venv
   source venv/bin/activate

3. Install dependencies

   pip install -r requirements.txt

4. Configure input/output

   • Edit src/main.py to set your input file and output directory.
   • The default input file is ../data/01302019.NASDAQ_ITCH50.gz.
   • The default output directory is ../output.

5. Run the parser

   python src/main.py

Output

VWAP results are saved as text files in the output directory, one file per hour.

Development

• To change the input file, edit the INPUT variable in src/main.py.
• To change output location, edit the OUTPUT variable in src/main.py.