itchfeed 1.0.0__py3-none-any.whl

itch/__init__.py

@@ -0,0 +1,14 @@
+"""
+Nasdaq TotalView-ITCH 5.0 Parser
+================================
+"""
+
+__author__ = "Bertin Balouki SIMYELI"
+__copyright__ = "2025 Bertin Balouki SIMYELI"
+__email__ = "bertin@bbstrader.com"
+__license__ = "MIT"
+__version__ = "1.0.0"
+
+
+from itch.messages import *  # noqa: F403
+from itch.parser import MessageParser  # noqa: F401

itch/indicators.py

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+SYSTEM_EVENT_CODES = {
+    b"O": "Start of Messages",
+    b"S": "Start of System hours",
+    b"Q": "Start of Market hours",
+    b"M": "End of Market hours",
+    b"E": "End of System hours",
+    b"C": "End of Messages",
+}
+
+
+MARKET_CATEGORY = {
+    b"N": "NYSE",
+    b"A": "AMEX",
+    b"P": "Arca",
+    b"Q": "NASDAQ Global Select",
+    b"G": "NASDAQ Global Market",
+    b"S": "NASDAQ Capital Market",
+    b"Z": "BATS",
+    b"V": "Investors Exchange",
+    b" ": "Not available",
+}
+
+
+FINANCIAL_STATUS_INDICATOR = {
+    b"D": "Deficient",
+    b"E": "Delinquent",
+    b"Q": "Bankrupt",
+    b"S": "Suspended",
+    b"G": "Deficient and Bankrupt",
+    b"H": "Deficient and Delinquent",
+    b"J": "Delinquent and Bankrupt",
+    b"K": "Deficient, Delinquent and Bankrupt",
+    b"C": "Creations and/or Redemptions Suspended for Exchange Traded Product",
+    b"N": "Normal (Default): Issuer is NOT Deficient, Delinquent, or Bankrupt",
+    b" ": "Not available. Firms should refer to SIAC feeds for code if needed",
+}
+
+
+ISSUE_CLASSIFICATION_VALUES = {
+    b"A": "American Depositary Share",
+    b"B": "Bond",
+    b"C": "Common Stock",
+    b"F": "Depository Receipt",
+    b"I": "144A",
+    b"L": "Limited Partnership",
+    b"N": "Notes",
+    b"O": "Ordinary Share",
+    b"P": "Preferred Stock",
+    b"Q": "Other Securities",
+    b"R": "Right",
+    b"S": "Shares of Beneficial Interest",
+    b"T": "Convertible Debenture",
+    b"U": "Unit",
+    b"V": "Units/Beneficial Interest",
+    b"W": "Warrant",
+}
+
+
+ISSUE_SUB_TYPE_VALUES = {
+    b"A": "Preferred Trust Securities",
+    b"AI": "Alpha Index ETNs",
+    b"B": "Index Based Derivative",
+    b"C": "Common Shares",
+    b"CB": "Commodity Based Trust Shares",
+    b"CF": "Commodity Futures Trust Shares",
+    b"CL": "Commodity-Linked Securities",
+    b"CM": "Commodity Index Trust Shares",
+    b"CO": "Collateralized Mortgage Obligation",
+    b"CT": "Currency Trust Shares",
+    b"CU": "Commodity-Currency-Linked Securities",
+    b"CW": "Currency Warrants",
+    b"D": "Global Depositary Shares",
+    b"E": "ETF-Portfolio Depositary Receipt",
+    b"EG": "Equity Gold Shares",
+    b"EI": "ETN-Equity Index-Linked Securities",
+    b"EM": "NextShares Exchange Traded Managed Fund*",
+    b"EN": "Exchange Traded Notes",
+    b"EU": "Equity Units",
+    b"F": "HOLDRS",
+    b"FI": "ETN-Fixed Income-Linked Securities",
+    b"FL": "ETN-Futures-Linked Securities",
+    b"G": "Global Shares",
+    b"I": "ETF-Index Fund Shares",
+    b"IR": "Interest Rate",
+    b"IW": "Index Warrant",
+    b"IX": "Index-Linked Exchangeable Notes",
+    b"J": "Corporate Backed Trust Security",
+    b"L": "Contingent Litigation Right",
+    b"LL": "Limited Liability Company (LLC)",
+    b"M": "Equity-Based Derivative",
+    b"MF": "Managed Fund Shares",
+    b"ML": "ETN-Multi-Factor Index-Linked Securities",
+    b"MT": "Managed Trust Securities",
+    b"N": "NY Registry Shares",
+    b"O": "Open Ended Mutual Fund",
+    b"P": "Privately Held Security",
+    b"PP": "Poison Pill",
+    b"PU": "Partnership Units",
+    b"Q": "Closed-End Funds",
+    b"R": "Reg-S",
+    b"RC": "Commodity-Redeemable Commodity-Linked Securities",
+    b"RF": "ETN-Redeemable Futures-Linked Securities",
+    b"RT": "REIT",
+    b"RU": "Commodity-Redeemable Currency-Linked Securities",
+    b"S": "SEED",
+    b"SC": "Spot Rate Closing",
+    b"SI": "Spot Rate Intraday",
+    b"T": "Tracking Stock",
+    b"TC": "Trust Certificates",
+    b"TU": "Trust Units",
+    b"U": "Portal",
+    b"V": "Contingent Value Right",
+    b"W": "Trust Issued Receipts",
+    b"WC": "World Currency Option",
+    b"X": "Trust",
+    b"Y": "Other",
+    b"Z": "Not Applicable",
+}
+
+
+TRADING_STATES = {
+    b"H": "Halted across all U.S. equity markets / SROs",
+    b"P": "Paused across all U.S. equity markets / SROs",
+    b"Q": "Quotation only period for cross-SRO halt or pause",
+    b"T": "Trading on NASDAQ",
+}
+
+
+TRADING_ACTION_REASON_CODES = {
+    b"T1": "Halt News Pending",
+    b"T2": "Halt News Disseminated",
+    b"T3": "News and Resumption Times",
+    b"T5": "Single Security Trading Pause In Effect",
+    b"T6": "Regulatory Halt - Extraordinary Market Activity",
+    b"T7": "Single Security Trading Pause / Quotation Only Period",
+    b"T8": "Halt ETF",
+    b"T12": "Trading Halted; For Information Requested by Listing Market",
+    b"H4": "Halt Non-Compliance",
+    b"H9": "Halt Filings Not Current",
+    b"H10": "Halt SEC Trading Suspension",
+    b"H11": "Halt Regulatory Concern",
+    b"O1": "Operations Halt; Contact Market Operations",
+    b"LUDP": "Volatility Trading Pause",
+    b"LUDS": "Volatility Trading Pause - Straddle Condition",
+    b"MWC0": "Market Wide Circuit Breaker Halt - Carry over from previous day",
+    b"MWC1": "Market Wide Circuit Breaker Halt - Level 1",
+    b"MWC2": "Market Wide Circuit Breaker Halt - Level 2",
+    b"MWC3": "Market Wide Circuit Breaker Halt - Level 3",
+    b"MWCQ": "Market Wide Circuit Breaker Resumption",
+    b"IPO1": "IPO Issue Not Yet Trading",
+    b"IPOQ": "IPO Security Released for Quotation (Nasdaq Securities Only)",
+    b"IPOE": "IPO Security — Positioning Window Extension (Nasdaq Securities Only)",
+    b"M1": "Corporate Action",
+    b"M2": "Quotation Not Available",
+    b"R1": "New Issue Available",
+    b"R2": "Issue Available",
+    b"R4": "Qualifications Issues Reviewed/Resolved; Quotations/Trading to Resume",
+    b"R9": "Filing Requirements Satisfied/Resolved; Quotations/Trading To Resume",
+    b"C3": "Issuer News Not Forthcoming; Quotations/Trading To Resume",
+    b"C4": "Qualifications Halt Ended; Maintenance Requirements Met; Resume",
+    b"C9": "Qualifications Halt Concluded; Filings Met; Quotes/Trades To Resume",
+    b"C11": "Trade Halt Concluded By Other Regulatory Authority; Quotes/Trades Resume",
+    b" ": "Reason Not Available",
+}
+
+
+PRIMARY_MARKET_MAKER = {
+    b"Y": "Primary market maker",
+    b"N": "Non-primary market maker",
+}
+
+
+MARKET_MAKER_MODE = {
+    b"N": "Normal",
+    b"P": "Passive",
+    b"S": "Syndicate",
+    b"R": "Pre-syndicate",
+    b"L": "Penalty",
+}
+
+
+MARKET_PARTICIPANT_STATE = {
+    b"A": "Active",
+    b"E": "Excused",
+    b"W": "Withdrawn",
+    b"S": "Suspended",
+    b"D": "Deleted",
+}
+
+
+PRICE_VARIATION_INDICATOR = {
+    b"L": "Less than 1%",
+    b"1": "1 to 1.99%",
+    b"2": "2 to 2.99%",
+    b"3": "3 to 3.99%",
+    b"4": "4 to 4.99%",
+    b"5": "5 to 5.99%",
+    b"6": "6 to 6.99%",
+    b"7": "7 to 7.99%",
+    b"8": "8 to 8.99%",
+    b"9": "9 to 9.99%",
+    b"A": "10 to 19.99%",
+    b"B": "20 to 29.99%",
+    b"C": "30% or greater",
+    b" ": "Cannot be calculated",
+}