Full Limit Order Book Snapshots at 30-Minute Intervals¶

This notebook demonstrates how to capture complete limit order book depth at regular intervals from ITCH 5.0 data.

Full LOB snapshots capture all orders for multiple price levels on both bid and ask sides, providing complete market depth information.

This example uses the S081321-v50-AAPL-SPY.itch50.gz file generated in the Extracting Symbols example.

In [1]:

from pathlib import Path
import datetime
import pandas as pd
from meatpy.itch50 import ITCH50MessageReader, ITCH50MarketProcessor
from meatpy.event_handlers.lob_recorder import LOBRecorder
from meatpy.writers.parquet_writer import ParquetWriter

# Define paths and parameters
data_dir = Path("data")

file_path = data_dir / "S081321-v50-AAPL-SPY.itch50.gz"
outfile_path = data_dir / "spy_lob.parquet"
book_date = datetime.datetime(2021, 8, 13)

with ITCH50MessageReader(file_path) as reader, ParquetWriter(outfile_path) as writer:
    processor = ITCH50MarketProcessor("SPY", book_date)

    # We only care about the top of book
    lob_recorder = LOBRecorder(writer=writer, collapse_orders=False)
    # Generate a list of timedeltas from 9:30 to 16:00 (inclusive) in 30-minute increments
    market_open = book_date + datetime.timedelta(hours=9, minutes=30)
    market_close = book_date + datetime.timedelta(hours=16, minutes=0)
    record_timestamps = [
        market_open + datetime.timedelta(minutes=i)
        for i in range(
            int((market_close - market_open).total_seconds() // (30 * 60)) + 1
        )
    ]
    lob_recorder.record_timestamps = record_timestamps

    # Attach the recorders to the processor
    processor.handlers.append(lob_recorder)

    for message in reader:
        processor.process_message(message)

from pathlib import Path import datetime import pandas as pd from meatpy.itch50 import ITCH50MessageReader, ITCH50MarketProcessor from meatpy.event_handlers.lob_recorder import LOBRecorder from meatpy.writers.parquet_writer import ParquetWriter # Define paths and parameters data_dir = Path("data") file_path = data_dir / "S081321-v50-AAPL-SPY.itch50.gz" outfile_path = data_dir / "spy_lob.parquet" book_date = datetime.datetime(2021, 8, 13) with ITCH50MessageReader(file_path) as reader, ParquetWriter(outfile_path) as writer: processor = ITCH50MarketProcessor("SPY", book_date) # We only care about the top of book lob_recorder = LOBRecorder(writer=writer, collapse_orders=False) # Generate a list of timedeltas from 9:30 to 16:00 (inclusive) in 30-minute increments market_open = book_date + datetime.timedelta(hours=9, minutes=30) market_close = book_date + datetime.timedelta(hours=16, minutes=0) record_timestamps = [ market_open + datetime.timedelta(minutes=i) for i in range( int((market_close - market_open).total_seconds() // (30 * 60)) + 1 ) ] lob_recorder.record_timestamps = record_timestamps # Attach the recorders to the processor processor.handlers.append(lob_recorder) for message in reader: processor.process_message(message)

In [2]:

pd.read_parquet(outfile_path).head(10)

pd.read_parquet(outfile_path).head(10)

Out[2]:

	Timestamp	Type	Level	Price	Order ID	Volume	Order Timestamp
0	2021-08-13 09:30:00	Ask	1	445.22	1215132	100	2021-08-13 04:17:00.009898
1	2021-08-13 09:30:00	Ask	1	445.22	1215268	100	2021-08-13 04:17:00.019219
2	2021-08-13 09:30:00	Ask	1	445.22	1242280	100	2021-08-13 04:18:00.288942
3	2021-08-13 09:30:00	Ask	2	445.23	848264	100	2021-08-13 04:10:00.850094
4	2021-08-13 09:30:00	Ask	2	445.23	848300	500	2021-08-13 04:10:00.850318
5	2021-08-13 09:30:00	Ask	2	445.23	1215112	500	2021-08-13 04:17:00.009681
6	2021-08-13 09:30:00	Ask	2	445.23	1242272	500	2021-08-13 04:18:00.288764
7	2021-08-13 09:30:00	Ask	2	445.23	1242636	500	2021-08-13 04:18:00.489233
8	2021-08-13 09:30:00	Ask	2	445.23	1243048	500	2021-08-13 04:18:00.855560
9	2021-08-13 09:30:00	Ask	2	445.23	1244196	500	2021-08-13 04:18:00.931458