Reading compressed marketdata files does not work on Microsoft Windows
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abbass2 commented
The C++ code has #ifdefs defined for windows so that it does not use boost_iostreams. Tried installing boost_iostreams on windows with Anaconda and vcpkg but with both there were problems when it tried to link to boost_zlib2.lib which was never built.
abbass2 commented
The code for processing market data has been removed, apart from a csv reader that is faster than pandas.