iexparsing 0.2.1

Parse IEX market data streams

iexparsing

A collection of parsers for IEX.

Use the parsers to gather relevant quotes and trades information.

Currently, only IEX-TP and TOPS parsing is supported.

IEX-TP Parsing Example

from iexparsing import iextp

session = iextp.Session()

outbound_segment = session.decode_packet(b'\x01\x00\xFF\xFF\x01\x00\x00\x00\x00\x00\x87\x42\x07\x00\x02\x00\x8c\xa6\x21\x00\x00\x00\x00\x00\xca\xc3\x00\x00\x00\x00\x00\x00\xec\x45\xc2\x20\x96\x86\x6d\x14\x01\x00\x69\x02\x00\xBE\xEF')
print(outbound_segment)

IEX-TP outbound segment: [b'i', b'\xbe\xef']

You can then pass outbound_segment.messages to a messages-protocol parser, e.g. TOPS.

TOPS Parsing Example

from iexparsing import tops

session = tops.Session()
    
print(session.decode_message(b'\x51\x00\xac\x63\xc0\x20\x96\x86\x6d\x14\x5a\x49\x45\x58\x54\x20\x20\x20\xe4\x25\x00\x00\x24\x1d\x0f\x00\x00\x00\x00\x00\xec\x1d\x0f\x00\x00\x00\x00\x00\xe8\x03\x00\x00'))

best bid: 9700 ZIEXT shares for 99.05 USD; best ask: 1000 ones for 99.07 USD @ 2016-08-23 19:30:32.572716

TODO

• Make a basic parser
• Write documentation
• Report errors
• Add a DEEP parser
• Parse trading breaks