Description
Features
Supported Compilers

The B2BITS ITCH Market Feed handler is designed to process market data distributed via ITCH protocol.

The protocol is widely employed for dissemination of full-depth, order-level market data with near real-time latency characteristics. Many exchanges such as NASDAQ, JSE/NSX, LSE, Borsa Italiana, Turquoise and Oslo Børs have adapted the use of ITCH.

The ITCH market feed handler fully supports the workflows of exchanges listed in the table below, including message recovery and exchange site fail-over.

 The feed handler functionality is embedded into the FIX Antenna library and FIXEdge.

ITCH Handler Preview ITCH Convertor Preview                     

Clients can use the C++ API to attach to the exchange data feed and start getting ITCH messages via a callback call.

The handler provides optional ITCH-to-FIX message conversion, client would use C++ API to access the message data using well-known standard FIX tag numbers. ITCH/FIX convertor is specifically designed to deliver high performance. It converts messages on the fly, with an average latency of 3 microseconds. The converter also optimizes the number of output messages by stacking several ITCH messages into one output FIX Message 'X' (up to 10 MD entries or less depending on the current message rate). This reduces the overhead of message delivery over FIX.

FIXEdge is a server application that supports ITCH market data feed and adds an additional feature for routing market data messages to FIX clients via TCP.

Our products come with 24x7 support provided worldwide and availability of "on-demand" software escrow.

Learn about our connectivity solution for the Johannesburg Stock Exchange that includes ITCH as well as a FAST feed handler.

Features

Feature Description
ITCH support 100% ITCH compliance, support standard ITCH units and messages:
  • Unit Header
  • Message Header
  • Time Stamp
  • System Event
  • Symbol Directory
  • Symbol Status
  • Add Order
  • Order Deleted
  • Order Modified
  • Order Book Clear
  • Order Executed
  • Order Executed With Price/Size
  • Trade
  • Auction Trade
  • Off Book Trade
  • Trade Break
  • Recovery Trade
  • Auction Info
  • Statistics
Venues

Pre-configured for and certified with:

  • JSE
  • NSX
  • LSE

With adaptation can be used for:

  • Borsa Italiana
  • Turquoise
  • Oslo Børs
  • ...others may be added on-demand
FIX protocol support

Main features:

  • Built-in support of converting ITCH binary stream into FIX 5.0 SP2
  • In the unlikely event that an ITCH message cannot be converted to FIX due to an undocumented field value or a recent change in ITCH format, the binary message is wrapped into a special standard FIX message and delivered to the client for handling
  • Customizable convertor code may be shared with the customer for an additional fee
High Throughput/Low Latency: ITCH handler:
  • 530,000 messages/second, with 3 uSec average latency

 

ITCH-to-FIX conversion:
  • 380,000 messages/second, with 7 uSec average latency

 

ITCH/UDP to FIX/TCP:
  • 40,000 messages/second
Integration
  • User-friendly intuitive pure ANSI C++ public interface
  • Is supplied as a dynamic library or server application
Packaging

Supported Compilers

ITCH/FIX Converter is tested on a wide variety of compilers and platforms. The binary package is available right away for the platforms listed below:

Operating System Compiler 32-bit 64-bit
Windows MS Visual C++ 9.0 (2008)
Windows MS Visual C++ 10.0 (2008)
Linux GCC 4.4.x or higher
Can't find your platform in the table?
sales@b2bits.com contact us

Documentation

MilleniumIT Market Data Adapter