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


1 Answer 1


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!


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.