Welcome to meatpy’s documentation!

The Market Empirical Analysis Toolbox for Python (MeatPy) is a Python module aimed at researchers studying high-frequency market data feeds, focusing on full limit order book data. MeatPy aims to provide a set of standard, user-friendly open-source tools to lower the bar to entry into advanced empirical market microstructure research.

MeatPy’s latest documentation is available at https://meatpy.readthedocs.io/en/latest/ and the source code is available on GitHub.

MeatPy is a work in progress, and a lot remains to be done before we reach version 1.0. As of the current version, MeatPy only supports Nasdaq ITCH 5.0 files.

Credits

MeatPy was created by Vincent Grégoire (HEC Montréal) and Charles Martineau (University of Toronto). Javad YaAli provided excellent research assistance.