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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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.
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++).