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Getting Started with the Itch Protocol for quant development

(Last Updated On: May 16, 2011)

Getting Started with the Itch Protocol for quant development

Is there an open source engine like quickfix for the Itch protocol?
Does anyone have any recommendations on the fastest way to write a client to receive quotes via the Itch protocol?

As far as I remember, Itch is pretty simple protocol. At least it was a year ago when I tried to build a parser. I spent a week form the very beginning integrating it into my provider set in C++. At that time I didn’t find any open source alternatives.\

We use ITCH, we write our own parser. Should be pretty straight forward.

 

How did you debug the first version of the code? Is there an ITCH server that you can connect to, and test your code with?

Check out OpenMarketData.org, their FeedHandler Community Edition 1.4 has open source parsers for OPRA, ArcaBook Multicast, Arca Trades Multicast, BATS Multicast PITCH, NASDAQ TotalView-ITCH, and DirectEdge SCRATCH

These feed names crack me up, I wonder if there is a feed called RASH 🙂

 

there is a Rash protocol. It is basically FIX, with a lot more flags. I just worked on a RASH feed to connect to the PSX. I joined OpenMarketData.org, downloaded their software and compiled it. There is no documentation in the download. When I go to the site, and go to the documentation section, it wont accept my username and password, even though I can get to the download section with no problem. I wrote Olivia Moore, at OpenMarketData who is the development manager about this problem but she hasn’t written back.

Per chance do you have a copy of the documentation which you could email me?

Greenline Financial Technologies now has expanded VeriFIX to support many of these protocols, what are people using for testing?

As stated above its a fairly simple protocol to implement. The part that always needs a little thought is recovery and snapshots etc. If you need any consultancy help drop me a message

 

Check out Flumedata. They have low cost feed handler software that some major IBs have used in production. BTW, ITCH is a simple feed to parse. You need some raw ITCH market data to test. Contact NASDAQ support to get some files or your friends with access to market data.

if you’re with Citi, contact the Lava Trading guys. They should be able to point you in the right direction. I can give you a contact there if you PM me.

 

 

NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!

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