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ITCH 50 Example Testing Dataset


The test dataset contains artificial trading data for three made up stocks: ALC, BOB, and CHAR.

The dataset is used in the examples and unit tests of the package.

The data contains the following count of messages:

  • 6 system event (message type S)

  • 3 stock directory (message type R)

  • 3 trading status (message type H)

  • 5000 orders (4997 message type A and 3 F)

  • 2000 modifications (198 F, 45 X, 1745 D, and 12 U message types)

  • 5000 trades (message type P)

The file is also available as ex20101224.TEST_ITCH_50.gz.

To get real sample ITCH datasets, see the download_sample_file() function.


file <- system.file("extdata", "ex20101224.TEST_ITCH_50", package = "RITCH")

sys <- read_system_events(file)
#> [Counting]   num messages 12,012
#> [Counting]   num 'system_events' messages 6
#> [Converting] to data.table
#> [Done]       in 0.12 secs at 3.87MB/s