Parse IEX market data streams
Project description
parse-IEX
A collection of parsers for IEX.
Use the parsers to gather relevant quotes and trades information.
Currently, only TOPS parsing is supported.
TOPS Parsing Example
from parse_iex import tops
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'
print(tops.decode_message(message))
best bid: 9700 ZIEXT shares for 99.05 USD; best ask: 1000 ZIEXT shares 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
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