Contents
IEX Parser Documentation
The IEX exchange offers two types of historical data: DEEP and TOPS, both provided as PCAP files capturing network activity. This package provides a convenient API for extracting data from DEEP files. These files contain various types of messages, such as trade reports, bid submissions, security messages, etc. Currently, our package supports parsing two specific types of messages:
Trade reports - Detailed records of executed trades.
Price level updates - Information about changes in the bid and ask price levels.
Key benefits:
High-performance parsing: Significantly faster than the available Python parsers
Multi-timestamp support: Provides three timestamps for each event: + Event timestamp (from the matching engine) + Packet send timestamp + Packet capture timestamp
Check out the Requirements section for further information, including Installation of this project.
Note
This project is under active development.