Getting short volume from BATS

In my last post I have gone through the steps needed to get the short volume data from the BATS exchange. The code provided was however of the quick-n-dirty variety. I have now packaged everything to bats.py module that can be found on google code. (you will need the rest of the TradingWithPython library to run bats.py)

Usage:

import tradingWithPython as twp # main library
import tradingWithPython.lib.bats as bats # bats module

dl = bats.BATS_Data('C:\\batsData') # init with directory to save data
dl.updateDb() # update data
s = dl.loadData() # process zip files