itchfeed 1.0.0__tar.gz

itchfeed-1.0.0/LICENSE

@@ -0,0 +1,21 @@
+The MIT License (MIT)
+
+Copyright (c) 2025 Bertin Balouki SIMYELI
+
+Permission is hereby granted, free of charge, to any person obtaining a copy
+of this software and associated documentation files (the "Software"), to deal
+in the Software without restriction, including without limitation the rights
+to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+copies of the Software, and to permit persons to whom the Software is
+furnished to do so, subject to the following conditions:
+
+The above copyright notice and this permission notice shall be included in all
+copies or substantial portions of the Software.
+
+THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+SOFTWARE.

itchfeed-1.0.0/MANIFEST.in

@@ -0,0 +1 @@
+include requirements.txt

itchfeed-1.0.0/PKG-INFO

@@ -0,0 +1,217 @@
+Metadata-Version: 2.4
+Name: itchfeed
+Version: 1.0.0
+Summary: Simple parser for ITCH messages
+Home-page: https://github.com/bbalouki/itch
+Author: Bertin Balouki SIMYELI
+Author-email: <bertin@bbstrader.com>
+Maintainer: Bertin Balouki SIMYELI
+License: The MIT License (MIT)
+Project-URL: Source Code, https://github.com/bbalouki/itch
+Keywords: Finance,Financial,Quantitative,Equities,Data,Feed,ETFs,Funds,Trading,Investing,Portfolio,Optimization,Performance
+Classifier: Development Status :: 5 - Production/Stable
+Classifier: Intended Audience :: Developers
+Classifier: Intended Audience :: Financial and Insurance Industry
+Classifier: Topic :: Office/Business :: Financial :: Investment
+Classifier: Programming Language :: Python :: 3
+Classifier: Operating System :: OS Independent
+Description-Content-Type: text/markdown
+License-File: LICENSE
+Requires-Dist: pytest
+Dynamic: author
+Dynamic: author-email
+Dynamic: classifier
+Dynamic: description
+Dynamic: description-content-type
+Dynamic: home-page
+Dynamic: keywords
+Dynamic: license
+Dynamic: license-file
+Dynamic: maintainer
+Dynamic: project-url
+Dynamic: requires-dist
+Dynamic: summary
+
+# Nasdaq TotalView-ITCH 5.0 Parser
+
+[![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT) <!-- Choose your license -->
+
+A Python library for parsing binary data conforming to the Nasdaq TotalView-ITCH 5.0 protocol specification. This parser converts the raw byte stream into structured Python objects, making it easier to work with Nasdaq market data.
+
+## Overview
+
+The Nasdaq TotalView-ITCH 5.0 protocol is a binary protocol used by Nasdaq to disseminate full order book depth, trade information, and system events for equities traded on its execution system. This parser handles the low-level details of reading the binary format, unpacking fields according to the specification, and presenting the data as intuitive Python objects.
+
+## Features
+
+*   **Parses ITCH 5.0 Binary Data:** Accurately interprets the binary message structures defined in the official specification.
+*   **Supports All Standard Message Types:** Implements classes for all messages defined in the ITCH 5.0 specification (System Event, Stock Directory, Add Order, Trade, etc.).
+*   **Object-Oriented Representation:** Each ITCH message type is represented by a dedicated Python class (`SystemEventMessage`, `AddOrderMessage`, etc.), inheriting from a common `MarketMessage` base class.
+*   **Flexible Input:** Reads and parses messages from:
+    *   Binary files (`.gz` or similar).
+    *   Raw byte streams (e.g., from network sockets).
+*   **Data Decoding:** Provides a `.decode()` method on each message object to convert it into a human-readable `dataclass` representation, handling:
+    *   Byte-to-string conversion (ASCII).
+    *   Stripping padding spaces.
+    *   Price decoding based on defined precision.
+*   **Timestamp Handling:** Correctly reconstructs the 6-byte (48-bit) nanosecond timestamps.
+*   **Price Handling:** Decodes fixed-point price fields into floating-point numbers based on the standard 4 or 8 decimal place precision.
+*   **Pure Python:** Relies only on the Python standard library . No external dependencies required.
+
+## Installation
+
+You can install this project using ``pip``
+
+1.  **Clone the repository (or download the source code):**
+    ```bash
+    pip install itch
+    ```
+2.  **Import the necessary modules** directly into your Python project:
+    ```python
+    from itch.parser import MessageParser
+    from itch.messages import ModifyOrderMessage
+    ```
+
+## Usage
+
+### Parsing from a Binary File
+
+This is useful for processing historical ITCH data stored in files. The `MessageParser` handles buffering efficiently.
+
+```python
+from itch import MessageParser
+from itch.messages import AddOrderMessage, TradeMessage
+
+# Initialize the parser. Optionally filter messages by type.
+# parser = MessageParser(message_type=b"AP") # Only parse AddOrder and NonCrossTrade messages
+parser = MessageParser()
+
+# Path to your ITCH 5.0 data file
+itch_file_path = 'path/to/your/data'
+# you can find sample data [here](https://emi.nasdaq.com/ITCH/Nasdaq%20ITCH/)
+
+try:
+    with open(itch_file_path, 'rb') as itch_file:
+        # read_message_from_file returns a list of parsed message objects
+        parsed_messages = parser.read_message_from_file(itch_file)
+
+        print(f"Parsed {len(parsed_messages)} messages.")
+
+        # Process the messages
+        for message in parsed_messages:
+            # Access attributes directly
+            print(f"Type: {message.message_type.decode()}, Timestamp: {message.timestamp}")
+
+            if isinstance(message, AddOrderMessage):
+                print(f"  Add Order: Ref={message.order_reference_number}, "
+                      f"Side={message.buy_sell_indicator.decode()}, "
+                      f"Shares={message.shares}, Stock={message.stock.decode().strip()}, "
+                      f"Price={message.decode_price('price')}") 
+
+            elif isinstance(message, TradeMessage): 
+                 print(f"  Trade: Match={message.match_number}")
+                 # Access specific trade type attributes...
+
+            # Get a human-readable dataclass representation
+            decoded_msg = message.decode()
+            print(f"  Decoded: {decoded_msg}")
+
+except FileNotFoundError:
+    print(f"Error: File not found at {itch_file_path}")
+except Exception as e:
+    print(f"An error occurred: {e}")
+
+```
+
+### Parsing from Raw Bytes
+
+This is suitable for real-time processing, such as reading from a network stream.
+
+```python
+from itch import MessageParser
+from itch.messages import AddOrderMessage
+from queue import Queue
+
+# Initialize the parser
+parser = MessageParser()
+
+# Simulate receiving a chunk of binary data (e.g., from a network socket)
+# This chunk contains multiple ITCH messages, each prefixed with 0x00 and length byte
+# Example: \x00\x0bS...\x00\x25R...\x00\x27F...
+raw_binary_data: bytes = b"..." # Your raw ITCH 5.0 data chunk
+
+# read_message_from_bytes returns a queue of parsed message objects
+message_queue: Queue = parser.read_message_from_bytes(raw_binary_data)
+
+print(f"Parsed {message_queue.qsize()} messages from the byte chunk.")
+
+# Process messages from the queue
+while not message_queue.empty():
+    message = message_queue.get()
+
+    print(f"Type: {message.message_type.decode()}, Timestamp: {message.timestamp}")
+
+    if isinstance(message, AddOrderMessage):
+         print(f"  Add Order: Ref={message.order_reference_number}, "
+               f"Stock={message.stock.decode().strip()}, Price={message.decode_price('price')}")
+
+    # Use the decoded representation
+    decoded_msg = message.decode(prefix="Decoded")
+    print(f"  Decoded: {decoded_msg}")
+
+```
+
+## Supported Message Types
+
+The parser supports the following ITCH 5.0 message types. Each message object has attributes corresponding to the fields defined in the specification. Refer to the class docstrings in `itch.messages` for detailed attribute descriptions.
+
+| Type (Byte) | Class Name                        | Description                                      |
+| :---------- | :-------------------------------- | :----------------------------------------------- |
+| `S`         | `SystemEventMessage`              | System Event Message                             |
+| `R`         | `StockDirectoryMessage`           | Stock Directory Message                          |
+| `H`         | `StockTradingActionMessage`       | Stock Trading Action Message                     |
+| `Y`         | `RegSHOMessage`                   | Reg SHO Short Sale Price Test Restricted Indicator |
+| `L`         | `MarketParticipantPositionMessage`| Market Participant Position message              |
+| `V`         | `MWCBDeclineLeveMessage`          | Market-Wide Circuit Breaker (MWCB) Decline Level |
+| `W`         | `MWCBStatusMessage`               | Market-Wide Circuit Breaker (MWCB) Status        |
+| `K`         | `IPOQuotingPeriodUpdateMessage`   | IPO Quoting Period Update Message                |
+| `J`         | `LULDAuctionCollarMessage`        | LULD Auction Collar Message                      |
+| `h`         | `OperationalHaltMessage`          | Operational Halt Message                         |
+| `A`         | `AddOrderNoMPIAttributionMessage` | Add Order (No MPID Attribution)                  |
+| `F`         | `AddOrderMPIDAttribution`         | Add Order (MPID Attribution)                     |
+| `E`         | `OrderExecutedMessage`            | Order Executed Message                           |
+| `C`         | `OrderExecutedWithPriceMessage`   | Order Executed With Price Message                |
+| `X`         | `OrderCancelMessage`              | Order Cancel Message                             |
+| `D`         | `OrderDeleteMessage`              | Order Delete Message                             |
+| `U`         | `OrderReplaceMessage`             | Order Replace Message                            |
+| `P`         | `NonCrossTradeMessage`            | Trade Message (Non-Cross)                        |
+| `Q`         | `CrossTradeMessage`               | Cross Trade Message                              |
+| `B`         | `BrokenTradeMessage`              | Broken Trade / Order Execution Message           |
+| `I`         | `NOIIMessage`                     | Net Order Imbalance Indicator (NOII) Message     |
+| `N`         | `RetailPriceImprovementIndicator` | Retail Price Improvement Indicator (RPII)        |
+| `O`         | `DLCRMessage`                     | Direct Listing with Capital Raise Message        |
+
+## Data Representation
+
+*   **Base Class:** All message classes inherit from `itch.messages.MarketMessage`. This base class provides common attributes like `message_type`, `description`, `stock_locate`, `tracking_number`, and `timestamp`.
+*   **Timestamp:** Timestamps are stored as 64-bit integers representing nanoseconds since midnight. The `set_timestamp` and `split_timestamp` methods handle the conversion from/to the 6-byte representation used in the raw messages.
+*   **Prices:** Price fields (e.g., `price`, `execution_price`, `level1_price`) are stored as integers in the raw message objects. Use the `message.decode_price('attribute_name')` method to get the correctly scaled floating-point value (usually 4 or 8 decimal places, defined by `message.price_precision`).
+*   **Strings:** Alpha fields are stored as `bytes`. The `.decode()` method converts these to ASCII strings and removes right-padding spaces.
+*   **Decoded Objects:** The `message.decode()` method returns a standard Python `dataclass` instance. This provides a clean, immutable, and easily inspectable representation of the message content with correct data types (float for prices, string for text).
+
+## Contributing
+
+Contributions are welcome! If you find a bug, have a suggestion, or want to add a feature:
+
+1.  **Check Issues:** See if an issue for your topic already exists.
+2.  **Open an Issue:** If not, open a new issue describing the bug or feature request.
+3.  **Fork and Branch:** Fork the repository and create a new branch for your changes.
+4.  **Implement Changes:** Make your code changes, ensuring adherence to the ITCH 5.0 specification. Add tests if applicable.
+5.  **Submit Pull Request:** Open a pull request from your branch to the main repository, referencing the relevant issue.
+
+## License
+
+This project is licensed under the MIT License - see the [LICENSE](LICENSE) file for details.
+
+## References
+*   **Nasdaq TotalView-ITCH 5.0 Specification:** The official [documentation](https://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHspecification.pdf) is the definitive source for protocol details.

itchfeed-1.0.0/README.md

@@ -0,0 +1,183 @@
+# Nasdaq TotalView-ITCH 5.0 Parser
+
+[![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT) <!-- Choose your license -->
+
+A Python library for parsing binary data conforming to the Nasdaq TotalView-ITCH 5.0 protocol specification. This parser converts the raw byte stream into structured Python objects, making it easier to work with Nasdaq market data.
+
+## Overview
+
+The Nasdaq TotalView-ITCH 5.0 protocol is a binary protocol used by Nasdaq to disseminate full order book depth, trade information, and system events for equities traded on its execution system. This parser handles the low-level details of reading the binary format, unpacking fields according to the specification, and presenting the data as intuitive Python objects.
+
+## Features
+
+*   **Parses ITCH 5.0 Binary Data:** Accurately interprets the binary message structures defined in the official specification.
+*   **Supports All Standard Message Types:** Implements classes for all messages defined in the ITCH 5.0 specification (System Event, Stock Directory, Add Order, Trade, etc.).
+*   **Object-Oriented Representation:** Each ITCH message type is represented by a dedicated Python class (`SystemEventMessage`, `AddOrderMessage`, etc.), inheriting from a common `MarketMessage` base class.
+*   **Flexible Input:** Reads and parses messages from:
+    *   Binary files (`.gz` or similar).
+    *   Raw byte streams (e.g., from network sockets).
+*   **Data Decoding:** Provides a `.decode()` method on each message object to convert it into a human-readable `dataclass` representation, handling:
+    *   Byte-to-string conversion (ASCII).
+    *   Stripping padding spaces.
+    *   Price decoding based on defined precision.
+*   **Timestamp Handling:** Correctly reconstructs the 6-byte (48-bit) nanosecond timestamps.
+*   **Price Handling:** Decodes fixed-point price fields into floating-point numbers based on the standard 4 or 8 decimal place precision.
+*   **Pure Python:** Relies only on the Python standard library . No external dependencies required.
+
+## Installation
+
+You can install this project using ``pip``
+
+1.  **Clone the repository (or download the source code):**
+    ```bash
+    pip install itch
+    ```
+2.  **Import the necessary modules** directly into your Python project:
+    ```python
+    from itch.parser import MessageParser
+    from itch.messages import ModifyOrderMessage
+    ```
+
+## Usage
+
+### Parsing from a Binary File
+
+This is useful for processing historical ITCH data stored in files. The `MessageParser` handles buffering efficiently.
+
+```python
+from itch import MessageParser
+from itch.messages import AddOrderMessage, TradeMessage
+
+# Initialize the parser. Optionally filter messages by type.
+# parser = MessageParser(message_type=b"AP") # Only parse AddOrder and NonCrossTrade messages
+parser = MessageParser()
+
+# Path to your ITCH 5.0 data file
+itch_file_path = 'path/to/your/data'
+# you can find sample data [here](https://emi.nasdaq.com/ITCH/Nasdaq%20ITCH/)
+
+try:
+    with open(itch_file_path, 'rb') as itch_file:
+        # read_message_from_file returns a list of parsed message objects
+        parsed_messages = parser.read_message_from_file(itch_file)
+
+        print(f"Parsed {len(parsed_messages)} messages.")
+
+        # Process the messages
+        for message in parsed_messages:
+            # Access attributes directly
+            print(f"Type: {message.message_type.decode()}, Timestamp: {message.timestamp}")
+
+            if isinstance(message, AddOrderMessage):
+                print(f"  Add Order: Ref={message.order_reference_number}, "
+                      f"Side={message.buy_sell_indicator.decode()}, "
+                      f"Shares={message.shares}, Stock={message.stock.decode().strip()}, "
+                      f"Price={message.decode_price('price')}") 
+
+            elif isinstance(message, TradeMessage): 
+                 print(f"  Trade: Match={message.match_number}")
+                 # Access specific trade type attributes...
+
+            # Get a human-readable dataclass representation
+            decoded_msg = message.decode()
+            print(f"  Decoded: {decoded_msg}")
+
+except FileNotFoundError:
+    print(f"Error: File not found at {itch_file_path}")
+except Exception as e:
+    print(f"An error occurred: {e}")
+
+```
+
+### Parsing from Raw Bytes
+
+This is suitable for real-time processing, such as reading from a network stream.
+
+```python
+from itch import MessageParser
+from itch.messages import AddOrderMessage
+from queue import Queue
+
+# Initialize the parser
+parser = MessageParser()
+
+# Simulate receiving a chunk of binary data (e.g., from a network socket)
+# This chunk contains multiple ITCH messages, each prefixed with 0x00 and length byte
+# Example: \x00\x0bS...\x00\x25R...\x00\x27F...
+raw_binary_data: bytes = b"..." # Your raw ITCH 5.0 data chunk
+
+# read_message_from_bytes returns a queue of parsed message objects
+message_queue: Queue = parser.read_message_from_bytes(raw_binary_data)
+
+print(f"Parsed {message_queue.qsize()} messages from the byte chunk.")
+
+# Process messages from the queue
+while not message_queue.empty():
+    message = message_queue.get()
+
+    print(f"Type: {message.message_type.decode()}, Timestamp: {message.timestamp}")
+
+    if isinstance(message, AddOrderMessage):
+         print(f"  Add Order: Ref={message.order_reference_number}, "
+               f"Stock={message.stock.decode().strip()}, Price={message.decode_price('price')}")
+
+    # Use the decoded representation
+    decoded_msg = message.decode(prefix="Decoded")
+    print(f"  Decoded: {decoded_msg}")
+
+```
+
+## Supported Message Types
+
+The parser supports the following ITCH 5.0 message types. Each message object has attributes corresponding to the fields defined in the specification. Refer to the class docstrings in `itch.messages` for detailed attribute descriptions.
+
+| Type (Byte) | Class Name                        | Description                                      |
+| :---------- | :-------------------------------- | :----------------------------------------------- |
+| `S`         | `SystemEventMessage`              | System Event Message                             |
+| `R`         | `StockDirectoryMessage`           | Stock Directory Message                          |
+| `H`         | `StockTradingActionMessage`       | Stock Trading Action Message                     |
+| `Y`         | `RegSHOMessage`                   | Reg SHO Short Sale Price Test Restricted Indicator |
+| `L`         | `MarketParticipantPositionMessage`| Market Participant Position message              |
+| `V`         | `MWCBDeclineLeveMessage`          | Market-Wide Circuit Breaker (MWCB) Decline Level |
+| `W`         | `MWCBStatusMessage`               | Market-Wide Circuit Breaker (MWCB) Status        |
+| `K`         | `IPOQuotingPeriodUpdateMessage`   | IPO Quoting Period Update Message                |
+| `J`         | `LULDAuctionCollarMessage`        | LULD Auction Collar Message                      |
+| `h`         | `OperationalHaltMessage`          | Operational Halt Message                         |
+| `A`         | `AddOrderNoMPIAttributionMessage` | Add Order (No MPID Attribution)                  |
+| `F`         | `AddOrderMPIDAttribution`         | Add Order (MPID Attribution)                     |
+| `E`         | `OrderExecutedMessage`            | Order Executed Message                           |
+| `C`         | `OrderExecutedWithPriceMessage`   | Order Executed With Price Message                |
+| `X`         | `OrderCancelMessage`              | Order Cancel Message                             |
+| `D`         | `OrderDeleteMessage`              | Order Delete Message                             |
+| `U`         | `OrderReplaceMessage`             | Order Replace Message                            |
+| `P`         | `NonCrossTradeMessage`            | Trade Message (Non-Cross)                        |
+| `Q`         | `CrossTradeMessage`               | Cross Trade Message                              |
+| `B`         | `BrokenTradeMessage`              | Broken Trade / Order Execution Message           |
+| `I`         | `NOIIMessage`                     | Net Order Imbalance Indicator (NOII) Message     |
+| `N`         | `RetailPriceImprovementIndicator` | Retail Price Improvement Indicator (RPII)        |
+| `O`         | `DLCRMessage`                     | Direct Listing with Capital Raise Message        |
+
+## Data Representation
+
+*   **Base Class:** All message classes inherit from `itch.messages.MarketMessage`. This base class provides common attributes like `message_type`, `description`, `stock_locate`, `tracking_number`, and `timestamp`.
+*   **Timestamp:** Timestamps are stored as 64-bit integers representing nanoseconds since midnight. The `set_timestamp` and `split_timestamp` methods handle the conversion from/to the 6-byte representation used in the raw messages.
+*   **Prices:** Price fields (e.g., `price`, `execution_price`, `level1_price`) are stored as integers in the raw message objects. Use the `message.decode_price('attribute_name')` method to get the correctly scaled floating-point value (usually 4 or 8 decimal places, defined by `message.price_precision`).
+*   **Strings:** Alpha fields are stored as `bytes`. The `.decode()` method converts these to ASCII strings and removes right-padding spaces.
+*   **Decoded Objects:** The `message.decode()` method returns a standard Python `dataclass` instance. This provides a clean, immutable, and easily inspectable representation of the message content with correct data types (float for prices, string for text).
+
+## Contributing
+
+Contributions are welcome! If you find a bug, have a suggestion, or want to add a feature:
+
+1.  **Check Issues:** See if an issue for your topic already exists.
+2.  **Open an Issue:** If not, open a new issue describing the bug or feature request.
+3.  **Fork and Branch:** Fork the repository and create a new branch for your changes.
+4.  **Implement Changes:** Make your code changes, ensuring adherence to the ITCH 5.0 specification. Add tests if applicable.
+5.  **Submit Pull Request:** Open a pull request from your branch to the main repository, referencing the relevant issue.
+
+## License
+
+This project is licensed under the MIT License - see the [LICENSE](LICENSE) file for details.
+
+## References
+*   **Nasdaq TotalView-ITCH 5.0 Specification:** The official [documentation](https://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHspecification.pdf) is the definitive source for protocol details.

itchfeed-1.0.0/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

itchfeed-1.0.0/itch/indicators.py

@@ -0,0 +1,206 @@
+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",
+}