IEX History

This repository contains a program to convert IEX historical data from packet captures to CSVs.

Each record of output corresponds to an IEX-TP message. Note: different message types will result in records with different numbers of fields. Currently, only system event and trade report messages are parsed. This is enough to construct OHLC bars with volume during trading hours.

Messages are comprised of typed fields. Except bytes and timestamps, types are intuitively formatted. bytes are formatted either as ASCII characters or as hex digits depending on whether the ASCII representation has meaning. timestamps are formatted in accordance with RFC 3339.

See the IEX TOPS specification for details.

Build Instructions

make pcap2csv

The build has been tested on macOS using the BSD development commands.