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Avoid converting to string for comparison in long if...
Reorder message in if based on frequency.
New improved output formats:
As (rich) markdown
As JSON
As arrow-ready format (common for all messages, to store in parquet file)
The markdown output is for interactive work and for the CLI
The JSON output is to simplify development and debugging.
The arrow format is to be able to store historical files in parquet format for easy searching and extraction. That way, when we want to look at a subset of stocks on a given day, we can easily query the messages related to those symbol/days and process them.
It would also decouple two important aspects of the message parser: reading and writing. The "in-memory" representation is currently at the message level, but the code around it is very messy. We could have many readers (one for each file type, at the minimum a binary ITCH reader, but potentially also parquet, JSON, etc...)
We could also have many writers, one for each file type.
The formatting logic could be defined at the message level.
See if we can speedup parser.
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