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7b9218c Aug 9, 2011
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ITCH 4.1 Implementation
Ryan Day
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This is a python (2.6) implementation of the NASDAQ ITCH 4.1 specification.
The spec can be found at http://nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTV-ITCH-V4_1.pdf
This is meant to be an educational project. While this can process about 8
gigs (on my quadcore anyways) in a little over an hour, the message queue
just is not fast enough to handle the information to make nanosecond speed
decisions. I still hope that it can serve as a guide to how ITCH data is
received, and allow users to test ideas based on historical information.
- ITCH Messages
The messages should be created by calling the factory method with a properly
formatted ITCH message. You will have the correct object for that message
returned to you. All character codes can be expanded using the dictionaries in
the parent ITCHMessage class for your convinience.
- ITCH Controller
The ITCH Controller runs as a separate process that accepts message through a
queue. This is to keep your input source decoupled from the controller. When
a message is posted to the queue, the controller will use the factory method
to get the proper object type and then search for a handler for that object
type. The handler(if any exists) will be called, and the message will be passed
to that handler.
- Examples
The example file is a quick app I threw together to read historical data files
from ftp://emi.nasdaq.com/ITCH/. It gives a good overview of how the handlers
work and how you can make decisions based on messages.
Errata
I'd be interested in improving on this and trying to make it faster. I think
that a real implementation will have to be done in a different language though.
Please give me any feedback!
Ryan Day
ryanday2@gmail.com