Colin Swaney
Colin Swaney is a Senior Research Software Engineer at Princeton University's Data-Driven Social Science Initiative. His research and development interests revolve around simulation, generative models and the application of machine learning to large social datasets.
Session
07-12
11:50
10min
TotalViewITCH.jl - Parse the messages in Julia!
Colin Swaney
What do financial markets look like up close? TotalView-ITCH is a unique data source that allows researchers to explore limit order activity on the Nasdaq exchange down to nanosecond precision. Working with this data, however, poses a challenge to researchers due to its volume (over 100 million messages per day) and its distinct binary format. This lightning talk describes a new package built to parse and process this deluge of data in Julia.
Economics
Method (1.5)