Welcome to meatpy’s documentation!¶
The Market Exchange Analysis Toolbox for Python (MeatPy) is a Python module aimed at researchers studying high frequency market datafeeds, with a special focus on full limit order book data. The aim of MeatPy is to provide a set of standard, user-friendly open-source tools to lower the bar to entry into advanced empirical market microstructure research.
You can install MeatPy using
pip install meatpy.
MeatPy was created by Vincent Grégoire (HEC Montréal) and Charles Martineau (University of Toronto). Javad YaAli provided excellent research assistance.