I am trying to make a Limit Order book from an ITCH file using r. what is the basic difference between orderbook and limit orderbook? R has a package for orderbook I think
If memory serves correctly, the cran package "orderbook" was for NYSE's TAQ (Transactions and Quotes) database.
the limit order book is the aggregation of latent demand in the market. For you to construct the limit order book you face a few (!) challenges. 1) Parsing itch raw messages (casting in the case of version 5.0) and 2) constructing the actual book. This is a substantial challenge if you seek a performant system.
To my knowledge, if you seek to analyze the nasdaq book in a cost effective manner from R, check out Lobster (https://lobster.wiwi.hu-berlin.de/)
Have a blast!