Python MeatPy for ITCH 5.0
The goal of this project is to provide a standard framework for processing and analyzing high-frequency financial data.
MeatPy is a Python package that currently supports Nasdaq ITCH 5.0. It can easily be adapted to process event-time data from multiple financial exchanges and formats.
To install MeatPy: pip install meatpy
MeatPy was created by Vincent Grégoire (HEC Montréal) and Charles Martineau (University of Toronto). Javad YaAli (Polytechnique Montréal) provided valuable research assistance on the project.
Please cite Gregoire, V. and Martineau, C. (2019) How is Earnings News Transmitted to Stock Prices?. Journal of Accounting Research when referring to this package.