Counts the messages of an ITCH-file
Usage
count_messages(
file,
add_meta_data = FALSE,
buffer_size = -1,
quiet = FALSE,
force_gunzip = FALSE,
gz_dir = tempdir(),
force_cleanup = TRUE
)
count_orders(x)
count_trades(x)
count_modifications(x)
count_system_events(x)
count_stock_directory(x)
count_trading_status(x)
count_reg_sho(x)
count_market_participant_states(x)
count_mwcb(x)
count_ipo(x)
count_luld(x)
count_noii(x)
count_rpii(x)Arguments
- file
the path to the input file, either a gz-file or a plain-text file
- add_meta_data
if the meta-data of the messages should be added, defaults to FALSE
- buffer_size
the size of the buffer in bytes, defaults to 1e8 (100 MB), if you have a large amount of RAM, 1e9 (1GB) might be faster
- quiet
if TRUE, the status messages are supressed, defaults to FALSE
- force_gunzip
only applies if file is a gz-file and a file with the same (gunzipped) name already exists. if set to TRUE, the existing file is overwritten. Default value is FALSE
- gz_dir
a directory where the gz archive is extracted to. Only applies if file is a gz archive. Default is
tempdir().- force_cleanup
only applies if file is a gz-file. If force_cleanup=TRUE, the gunzipped raw file will be deleted afterwards.
- x
a file or a data.table containing the message types and the counts, as outputted by
count_messages
Value
a data.table containing the message-type and their counts for count_messages
or an integer value for the other functions.
Details
count_orders: Counts order messages. Message typeAandF
count_trades: Counts trade messages. Message typeP,QandB
count_modifications: Counts order modification messages. Message typeE,C,X,D, andU
count_system_events: Counts system event messages. Message typeS
count_stock_directory: Counts stock trading messages. Message typeR
count_trading_status: Counts trading status messages. Message typeHandh
count_reg_sho: Counts messages regarding reg SHO. Message typeY
count_market_participant_states: Counts messages regarding the status of market participants. Message typeL
count_mwcb: Counts messages regarding Market-Wide-Circuit-Breakers (MWCB). Message typeVandW
count_ipo: Counts messages regarding IPOs. Message typeK
count_luld: Counts messages regarding LULDs (limit up-limit down) auction collars. Message typeJ
count_noii: Counts Net Order Imbalance Indicatio (NOII) messages. Message typeI
count_rpii: Counts Retail Price Improvement Indicator (RPII) messages. Message typeN
Examples
file <- system.file("extdata", "ex20101224.TEST_ITCH_50", package = "RITCH")
count_messages(file)
#> [Counting] 12,012 total messages found
#> [Converting] to data.table
#> [Done] in 0.00 secs at 834.64MB/s
#> msg_type count
#> <char> <i64>
#> 1: S 6
#> 2: R 3
#> 3: H 3
#> 4: Y 0
#> 5: L 0
#> 6: V 0
#> 7: W 0
#> 8: K 0
#> 9: J 0
#> 10: h 0
#> 11: A 4997
#> 12: F 3
#> 13: E 198
#> 14: C 0
#> 15: X 45
#> 16: D 1745
#> 17: U 12
#> 18: P 5000
#> 19: Q 0
#> 20: B 0
#> 21: I 0
#> 22: N 0
#> msg_type count
count_messages(file, add_meta_data = TRUE, quiet = TRUE)
#> msg_type count msg_class
#> <char> <i64> <char>
#> 1: S 6 system_events
#> 2: R 3 stock_directory
#> 3: H 3 trading_status
#> 4: Y 0 reg_sho
#> 5: L 0 market_participant_states
#> 6: V 0 mwcb
#> 7: W 0 mwcb
#> 8: K 0 ipo
#> 9: J 0 luld
#> 10: h 0 trading_status
#> 11: A 4997 orders
#> 12: F 3 orders
#> 13: E 198 modifications
#> 14: C 0 modifications
#> 15: X 45 modifications
#> 16: D 1745 modifications
#> 17: U 12 modifications
#> 18: P 5000 trades
#> 19: Q 0 trades
#> 20: B 0 trades
#> 21: I 0 noii
#> 22: N 0 rpii
#> msg_type count msg_class
#> msg_name doc_nr
#> <char> <char>
#> 1: System Event Message 4.1
#> 2: Stock Directory 4.2.1
#> 3: Stock Trading Action 4.2.2
#> 4: Reg SHO Restriction 4.2.3
#> 5: Market Participant Position 4.2.4
#> 6: MWCB Decline Level Message 4.2.5.1
#> 7: MWCB Status Message 4.2.5.2
#> 8: IPO Quoting Period Update 4.2.6
#> 9: LULD Auction Collar 4.2.7
#> 10: Operational Halt 4.2.8
#> 11: Add Order Message 4.3.1
#> 12: Add Order - MPID Attribution Message 4.3.2
#> 13: Order Executed Message 4.4.1
#> 14: Order Executed Message With Price Message 4.4.2
#> 15: Order Cancel Message 4.4.3
#> 16: Order Delete Message 4.4.4
#> 17: Order Replace Message 4.4.5
#> 18: Trade Message (Non-Cross) 4.5.1
#> 19: Cross Trade Message 4.5.2
#> 20: Broken Trade Message 4.5.3
#> 21: NOII Message 4.6
#> 22: Retail Interest Message 4.7
#> msg_name doc_nr
# file can also be a .gz file
gz_file <- system.file("extdata", "ex20101224.TEST_ITCH_50.gz", package = "RITCH")
count_messages(gz_file, quiet = TRUE)
#> msg_type count
#> <char> <i64>
#> 1: S 6
#> 2: R 3
#> 3: H 3
#> 4: Y 0
#> 5: L 0
#> 6: V 0
#> 7: W 0
#> 8: K 0
#> 9: J 0
#> 10: h 0
#> 11: A 4997
#> 12: F 3
#> 13: E 198
#> 14: C 0
#> 15: X 45
#> 16: D 1745
#> 17: U 12
#> 18: P 5000
#> 19: Q 0
#> 20: B 0
#> 21: I 0
#> 22: N 0
#> msg_type count
# count only a specific class
msg_count <- count_messages(file, quiet = TRUE)
# either count based on a given data.table outputted by count_messages
count_orders(msg_count)
#> [1] 5000
# or count orders from a file and not from a msg_count
count_orders(file)
#> [1] 5000
### Specific class count functions are:
count_orders(msg_count)
#> [1] 5000
count_trades(msg_count)
#> [1] 5000
count_modifications(msg_count)
#> [1] 2000
count_system_events(msg_count)
#> [1] 6
count_stock_directory(msg_count)
#> [1] 3
count_trading_status(msg_count)
#> [1] 3
count_reg_sho(msg_count)
#> [1] 0
count_market_participant_states(msg_count)
#> [1] 0
count_mwcb(msg_count)
#> [1] 0
count_ipo(msg_count)
#> [1] 0
count_luld(msg_count)
#> [1] 0
count_noii(msg_count)
#> [1] 0
count_rpii(msg_count)
#> [1] 0