Requirements
This package contains compiled binaries that can only be run on a Linux machine or a Windows machine with the Windows Subsystem for Linux (WSL) installed. Look at Unsupported OS for more information on compiling the binaries for other operating systems.
Installation
To use the IEX Parser, first install it using pip:
Will need to be edited to point to the correct location of the package!!!
$ pip install -i https://test.pypi.org/simple/ iex-parser
Usage
Create a symbols.txt file to filter the desired symbols
AAPL
MSFT
Run the following python script
>>> from iex_parser import parse_date
>>> download_folder = ...
>>> parsed_folder = ...
>>> parse_date("2023-10-30",download_folder,parsed_folder,"symbols.txt",download=True)
Output
The parsed data will be saved in the parsed_folder directory. Currently, two types of data are being parsed: trade reports and price levels. The schemas are as follows
Trade report schema
Trade Report Schema Column Name
Description
Packet Capture Time
The time when the packet was captured in Nanosecondssince epoch.
Send Time
The time when the message was sent in Nanoseconds since epoch.
Message ID
The unique identifier for the message.
Raw Timestamp
The raw timestamp of the message in Nanoseconds since epoch.
Tick Type
The type of tick (e.g., trade, quote).
Symbol
The stock symbol (e.g., MSFT, AAPL).
Size
The size of the trade.
Price
The price of the trade.
Trade ID
The unique identifier for the trade.
Sale Condition
Additional conditions of the sale (e.g., EXTENDED_HOURS, ODD_LOT).
Example trades output file
Packet Capture Time
Send Time
Message ID
Raw Timestamp
Tick Type
Symbol
Size
Price
Trade ID
Sale Condition
1696248274476274944
1696248274476249406
60091
1696248274475865577
T
MSFT
10
316.350000
2275739
EXTENDED_HOURS|ODD_LOT
1696248522899780096
1696248522899762796
70817
1696248522899669709
T
AAPL
20
171.410000
2683260
EXTENDED_HOURS|ODD_LOT
- Price Level Update schema
Price Level Update Schema Column Name
Description
Packet Capture Time
The time when the packet was captured in nanoseconds since epoch.
Send Time
The time when the message was sent in nanoseconds since epoch.
Message ID
The unique identifier for the message.
Raw Timestamp
The raw timestamp of the message in nanoseconds since epoch.
Tick Type
The type of tick (e.g., trade, quote).
Symbol
The stock symbol (e.g., MSFT, AAPL).
Price
The price of the trade.
Size
The size of the trade.
Record Type
The type of record.
Flag
The flag indicating special conditions or states.
ASK
The ask price in the market.
Example Price Level output file
Packet Capture Time
Send Time
Message ID
Raw Timestamp
Tick Type
Symbol
Price
Size
Record Type
Flag
ASK
1696248000327041024
1696248000326948634
45631
1696248000184809932
PRL
MSFT
348.000000
20
R
1
1
1696249295813316096
1696249295813302703
104927
1696249295813269151
PRL
AAPL
171.130000
243
R
1
1