Writes a data.frame or a list of data.frames of ITCH messages to file

Note that additional information, e.g., columns that were added, will be dropped in the process and only ITCH-compliant information is saved.

Usage

write_itch(
  ll,
  file,
  add_meta = TRUE,
  append = FALSE,
  compress = FALSE,
  buffer_size = 1e+08,
  quiet = FALSE,
  append_warning = TRUE
)

Arguments

ll: a data.frame or a list of data.frames of ITCH messages, in the format that the read_functions() return
file: the filename of the target file. If the folder to the file does not exist, it will be created recursively
add_meta: if date and file information should be added to the filename. Default value is TRUE. Note that adding meta information changes the filename.
append: if the information should be appended to the file. Default value is FALSE
compress: if the file should be gzipped. Default value is FALSE. Note that if you compress a file, buffer_size matters a lot, with larger buffers you are more likely to get smaller filesizes in the end. Alternatively, but slower, is to write the file without compression fully and then gzip the file using another program.
buffer_size: the maximum buffer size. Default value is 1e8 (100MB). Accepted values are > 52 and < 5e9
quiet: if TRUE, the status messages are suppressed, defaults to FALSE
append_warning: if append is set, a warning about timestamp ordering is given. Set append_warning = FALSE to silence the warning. Default value is TRUE

Value

the filename (invisibly)

Details

Note that the ITCH filename contains the information for the date and exchange. This can be specified explicitly in the file argument or it is added if not turned off add_meta = FALSE.

Examples

infile <- system.file("extdata", "ex20101224.TEST_ITCH_50", package = "RITCH")
sys <- read_system_events(infile, quiet = TRUE)
outfile <- tempfile()
write_itch(sys, outfile)
#> [Counting]   6 messages (84 bytes) found
#> [Converting] to binary .
#> [Writing]    to file
#> [Outfile]    '/tmp/RtmpUf29Lu/file16cd770eb67_20101224.TEST_ITCH_50'
#> [Done]       in 0.00 secs at 118.23KB/s

# create a list of events, stock directory, and orders and write to a file
sdir <- read_stock_directory(infile, quiet = TRUE)
od   <- read_orders(infile, quiet = TRUE)

ll <- list(sys, sdir, od)
write_itch(ll, outfile)
#> [Counting]   5,009 messages (190,219 bytes) found
#> [Converting] to binary .
#> [Writing]    to file
#> [Outfile]    '/tmp/RtmpUf29Lu/file16cd770eb67_20101224.TEST_ITCH_50'
#> [Done]       in 0.02 secs at 10.51MB/s