New answers tagged tick-data
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++).
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.
Usually the index provider has such historical data on its website. For FTSE see here
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