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itch-book
NASDAQ ITCH day files into book and trade tables
What it is
A C++ and Python reader for the NASDAQ TotalView ITCH day files the exchange publishes for free. It replays each saved file into best bid and offer, trades, order-by-order messages with the resting side already resolved, and market-by-price depth, handed out as numpy batches or Parquet tables. Researchers and developers who want an offline reconstructed book from those day files are the audience. The library replays recorded files only: there is no live session layer, gap fill, or feed arbitration, and several message types are counted but not decoded.
At a glance
Research onlyOur rating, based on popularity, maintenance and how ready it is for real use.
| Best for | Professional quants |
|---|---|
| Used for | Data source, Data analysis |
| Markets | US equities |
| Stack | Python |
| Learning curve | Moderate learning curve |
| Practical value | Medium practical value |
| Cost | Free and open source |
| Hardware | No GPU needed |
| Maintenance | Last commit 36 days ago |
GitHub stars, last 30 days
Daily snapshots since 2026-09-28 (up to 30 days): 0 over the period, now 3. Gaps mean no snapshot was taken that day.
NASDAQ TotalView-ITCH 5.0 day files to Parquet: BBO, trades, order-by-order messages with the resting side already resolved, and MBP depth; downloads and verifies the free emi.nasdaq.com sa
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