Hi,
thanks for your work, it is very wonderfull !
In this file 02_market_and_fundamental_data/01_parse_itch_order_flow_messages
I want to know why in fle “01_parse_itch_order_flow_messages”, you store message all 2.5e7 message_count (see if message_count % 2.5e7 == 0:) ?
I ask you that because i have a error store['P'] and store['Q'] does not exists in this line :
`trades = store['P'].append(store['Q'].rename(columns={'cross_price': 'price'}), sort=False).merge(stocks)`
If i launch this file in python, i have this error :
Traceback (most recent call last):
File "/usr/src/app/./01_parse_itch_order_flow_messages.py", line 531, in <module>
trades = store['P'].append(store['Q'].rename(columns={'cross_price': 'price'}), sort=False).merge(stocks)
~~~~~^^^^^
File "/usr/local/lib/python3.12/site-packages/pandas/io/pytables.py", line 601, in __getitem__
return self.get(key)
^^^^^^^^^^^^^
File "/usr/local/lib/python3.12/site-packages/pandas/io/pytables.py", line 811, in get
raise KeyError(f"No object named {key} in the file")
KeyError: 'No object named P in the file'
Thanks