TotalView ITCH 5.0 message parsing library

Small library to parse blobs of itch transactions into a structure. Most of this code was generated, the generation code and generated content can be found in gen. Data endianness of the structures variables is the same as in the original packet.

For validation purposes we can read the binary files provided by the nasdaq exchange, these can be downloaded at https://emi.nasdaq.com/ITCH/Nasdaq%20ITCH/

Build library

To build the static library libitch.a :

make lib

(optional) Enable debug :

make lib debug=1

Build test

To build the test case :

make test

(optional) Enable debug :

make test debug=1

To clean :

make clean

Run test

The test program takes in 2 command line arguments :

-f path to the location of the market data itch binary file provided by nasdaq for testing purposes.

-n number of itch messages to decode from the binary file

Command :

./test -n <number_msg> -f <file_path>

Configuration

Test behavior can be configure using the following macro's :

• LINE_CNT : default number of lines to be analysed if no -n argument is provided, default 4000

License

This code is licensed under CC BY-NC 4.0, to obtain a commercial license reach out to the author .