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anybody know how to construct a intraday stock price from NASDAQ TotalView-ITCH data?

I would need to know the price in millisecond, so I would need two rows: timestamp (for every millisecond) and price (best bid/ask)

Thanks for any help!

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2 Answers

To construct best bid/ask from ITCH you must build a book incrementally from the messages in the data. Every message, except for system oriented messages, and non-displayed Trades, represent an order or an action on an order. Process the data, build a book, and you will naturally be left with the best bid/ask at the top of each side.

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No choice to construct the book. Now the decision you have to make is for how many stocks you want to compute the bid-ask spreads and for how many days. You can use SAS but it is slow - so it may be fine for a few stocks on one day. Otherwise, Python is the best alternative (or C++).

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