A parser that reads IEX market data, and outputs it to json.
Currently supports:
- IEX TOPS (v1.5, v1.6)
- IEX DEEP (v1.0)
- IEX DPLS (v1.0)
Both capture file formats used by IEX Historical Data are supported:
- pcapng (current downloads)
- pcap (older downloads, e.g. the 2016 TOPS v1.5 feeds)
The json output generally corresponds with IEX's format specifications:
- field names are camel case versions of their specification (e.g. "Round Lot Size" ->
roundLotSize)
Install from a prebuilt binary, or build from source.
git clone git@github.com/wilsonjord/iex-parser.git
cd iex-parser
dub build --build=releaseiex-parser reads IEX Historical Data (gzip compressed pcap files),
and prints to stdout.
iex-parser data_feeds.pcap.gz