Consolidate?

[davclark]

Hi @cswaney!

I found your code after doing a quick search for #market-data on GitHub. I also wrote an ITCH parser as well as a TAQ parser. I put an issue on the pandas issue tracker.

In any case, if that work is useful for you, I'm happy to support your use of it. While I must admit I like my name better, I'm fine with you taking the lead on the naming scheme of any collaborative product, as I am no longer actively working on financial data.