This project parses the NASDAQ ITCH 5.0 data and output the volume-weighted average price for each stock at every trading hour.
Please make sure users have installed Python2 with the packages gzip, struct, datetime, os, and pandas.
Navigate to the src directory and run the following commands in the terminal.
python2 parser.py
Download raw ITCH 5.0 data from ftp://emi.nasdaq.com/ITCH/08302019.NASDAQ_ITCH50.gz. Copy it into res folder.
The data format is defined by the document Nasdaq TotalView-ITCH 5.0.