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

[Documentation]

[Project page]

Please cite

• How is Earnings News Transmitted to Stock Prices? Journal of Accounting Research, 2022

  with Vincent Gregoire [JAR] [SSRN] [Internet appendix] [Github]

or

• MeatPy: A Python Framework for Limit Order Book Reconstruction and Analysis, Journal of Open Source Software, 2026

  with Vincent Gregoire [JOSS] [GitHub Repo]

when using MeatPy in your research. If you have any questions or suggestions, please feel free to contact us or submit an issue on the GitHub repository.