Market Empirical Analysis Toolbox for Python
The goal of this project is to provide a standard framework for processing and analysing high-frequency financial data.
MeatPy currently supports Nasdaq ITCH 5.0. It can easily be adapted to process event-time data from multiple financial exchanges and formats.
MeatPy was created by Vincent Grégoire (HEC Montréal) and Charles Martineau (University of Toronto). Javad YaAli (Polytechnique Montréal) provided valuable research assistance on the project.
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