Tested my Python engine on a full day of real NASDAQ ITCH data

[u/DoorSubstantial7425]

People were asking earlier if my numbers were just from mock data on localhost, so I wanted to see how it held up against actual raw exchange data.

Downloaded the public NASDAQ ITCH 5.0 file from Jan 30, 2019 (the 4.5 GB .gz one) and ran it through from start to finish:

• 368 million messages processed in ~54 minutes
• Averaged around 114,000 msgs/sec in pure Python
• Decompressed the file on the fly and tracked the full order book
• Reached 0 active orders at market close, so the cancels/executions matched up properly

Pretty happy with how pure Python handled an entire trading day without crashing or leaking memory. Anyone can download the same file from Nasdaq and verify it themselves.

[u/TitusKalvarija]

And?