miazga / itch5parser

NASDAQ TotalView-ITCH 5.0 parsers written in C, Go and Rust

NASDAQ TotalView-ITCH 5.0 parsers written in Go

Here is a parser of NASDAQ TotalView-ITCH 5.0 outbound data feeds, written in Go. The specification for NASDAQ TotalView-ITCH 5.0 can be found at https://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHspecification.pdf.

All integer fields in ITCH data feeds are big-endian (network byte order) binary encoded numbers. Unless otherwise noted, they are unsigned.

Notes on the Implementation

In the Go implementation, we use the encoding/binary package of the Go Standard Library to convert big-endian integers to little-endian.

You can build the Go parser with:

go build parseITCH5.go

Usage

Running the executable without any argument will show you the usage:

$ ./parse_itch5
Usage: ./parse_itch5 input_file_path output_folder_path [msg_types]

If msg_types is not provided, output will be generated for all types

For example, to parse all messages in the daily feed S051018-v50.txt, and saved the parsed CSV files in folder output:

./parse_itch5 /path/to/S051018-v50.txt output

If you only want to parse messages of type R and A:

./parse_itch5 /path/to/S051018-v50.txt output RA