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Gkhan SMER, Ahmet Can ACAR
 


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STUDY FOR OBTAINING HISTORICAL MARKET DATA FROM ITCH DATA FEED
 
ITCH is a direct data feed product that enables HFT/Algo type of traders to access market by order data which provides the ability to view individual queue position, full depth of book and the size of each individual orders at each price level. We realized that we needed a data with this level of detail in our analytical projects developed using languages such as Python and R. However, this data was not readily provided as service-product from any other firm. Therefore, we worked on the documents provided by BIST Exchange to obtain the historical data saved in binary format, which normally streams in real-time. Also we have determined which output formats in-house data analytic processes will be required. These formats include tagged raw txt, untagged raw txt, executions with side information, varying depth level of limit order book. These formats and the specifications have been mainly considered in developing software called GenexMechanic which is converting raw binary format historical data to pre-determined formats. Also, we developed the another program which is called AnalyticDataProducer to parse data for multiple days and partitions at the same time in the desired output format. With this user-friendly program, our analytic team can reproduce order book data with different levels of depth, market executions with or without side information for desired set of securities and dates. This processed data provided our team with the ability to expand their feature set, make descriptive and exploratory analysis on limit order book level, backtest their strategies more accurately. The features coming from this dataset also contributed to our short-medium term forecasting models using artificial intelligence algorithms and econometric methods. This dataset is also used on production level for better execution algorithms for our buy-side specialized product, which was completed as a TUBITAK project and started to be used by our customers.

Anahtar Kelimeler: ITCH, Limit Order Book, Algorithmic Trading, Message Data, Market Microstructure