In every data project, there should be a check that the data actually looks like what you expect it to look like. This can be as simple as stopifnot(all(data$values __ 0)), but as with everything “simple”, you typically want to have some additional features, such as cleaner error messages, ...

Recently I was faced with a file compressed in NASDAQ’s ITCH-protocol, as I wasn’t able to find an R-package that parses and loads the file to R for me, I spent (probably) way to much time to write one, so here it is. But you might wonder, what ...