Getting Started with MeatPy

This guide will help you get started with MeatPy for processing financial market data.

Basic Concepts

Core Components

• MarketProcessor: Processes market messages and maintains order book state
• MessageReader: Reads market data from files in various formats
• LimitOrderBook (LOB): Represents the current state of buy and sell orders
• Event Handlers: Process and record market events as they occur

Supported Data Formats

MeatPy currently supports:

• ITCH 5.0: NASDAQ's binary market data format

Basic Usage

The simplest way to read ITCH 5.0 data:

from meatpy.itch50 import ITCH50MessageReader

# Read messages from an ITCH file
with ITCH50MessageReader("market_data.txt.gz") as reader:
    for i, message in enumerate(reader):
        print(f"Message {i}: {message}")
        if i >= 10:  # Just show first 10 messages
            break

Other common tasks include:

• Listing Symbols: Extracting unique stock symbols from ITCH files
• Extracting Specific Symbols: Creating new ITCH files with only specific symbols
• Top of Book Snapshots: Generating snapshots of the top of book state for analysis
• Order Book Snapshots: Creating snapshots of the full limit order book state