itchfeed 1.0.0__tar.gz → 1.0.2__tar.gz
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- {itchfeed-1.0.0 → itchfeed-1.0.2}/LICENSE +21 -21
- {itchfeed-1.0.0/itchfeed.egg-info → itchfeed-1.0.2}/PKG-INFO +225 -217
- {itchfeed-1.0.0 → itchfeed-1.0.2}/README.md +189 -183
- {itchfeed-1.0.0 → itchfeed-1.0.2}/itch/__init__.py +10 -14
- {itchfeed-1.0.0 → itchfeed-1.0.2}/itch/indicators.py +206 -206
- {itchfeed-1.0.0 → itchfeed-1.0.2}/itch/messages.py +1600 -1600
- {itchfeed-1.0.0 → itchfeed-1.0.2}/itch/parser.py +173 -180
- {itchfeed-1.0.0 → itchfeed-1.0.2/itchfeed.egg-info}/PKG-INFO +225 -217
- {itchfeed-1.0.0 → itchfeed-1.0.2}/requirements.txt +1 -1
- {itchfeed-1.0.0 → itchfeed-1.0.2}/setup.cfg +4 -4
- {itchfeed-1.0.0 → itchfeed-1.0.2}/setup.py +68 -66
- {itchfeed-1.0.0 → itchfeed-1.0.2}/tests/test_messages.py +444 -444
- {itchfeed-1.0.0 → itchfeed-1.0.2}/MANIFEST.in +0 -0
- {itchfeed-1.0.0 → itchfeed-1.0.2}/itchfeed.egg-info/SOURCES.txt +0 -0
- {itchfeed-1.0.0 → itchfeed-1.0.2}/itchfeed.egg-info/dependency_links.txt +0 -0
- {itchfeed-1.0.0 → itchfeed-1.0.2}/itchfeed.egg-info/requires.txt +0 -0
- {itchfeed-1.0.0 → itchfeed-1.0.2}/itchfeed.egg-info/top_level.txt +0 -0
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The MIT License (MIT)
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Copyright (c) 2025 Bertin Balouki SIMYELI
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Permission is hereby granted, free of charge, to any person obtaining a copy
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The above copyright notice and this permission notice shall be included in all
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copies or substantial portions of the Software.
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FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
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SOFTWARE.
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The MIT License (MIT)
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Copyright (c) 2025 Bertin Balouki SIMYELI
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Permission is hereby granted, free of charge, to any person obtaining a copy
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of this software and associated documentation files (the "Software"), to deal
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in the Software without restriction, including without limitation the rights
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to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
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copies of the Software, and to permit persons to whom the Software is
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furnished to do so, subject to the following conditions:
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The above copyright notice and this permission notice shall be included in all
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copies or substantial portions of the Software.
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THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
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FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
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Metadata-Version: 2.4
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Name: itchfeed
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Version: 1.0.
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Summary: Simple parser for ITCH messages
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Home-page: https://github.com/bbalouki/itch
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Metadata-Version: 2.4
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Name: itchfeed
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Version: 1.0.2
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Summary: Simple parser for ITCH messages
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Home-page: https://github.com/bbalouki/itch
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Download-URL: https://pypi.org/project/itchfeed/
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Author: Bertin Balouki SIMYELI
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Author-email: <bertin@bbstrader.com>
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Maintainer: Bertin Balouki SIMYELI
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License: The MIT License (MIT)
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Project-URL: Source Code, https://github.com/bbalouki/itch
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Keywords: Finance,Financial,Quantitative,Equities,Totalview-ITCH,Totalview,Nasdaq-ITCH,Nasdaq,ITCH,Data,Feed,ETFs,Funds,Trading,Investing
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Classifier: Development Status :: 5 - Production/Stable
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Classifier: Intended Audience :: Developers
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Classifier: Intended Audience :: Financial and Insurance Industry
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Classifier: Topic :: Office/Business :: Financial :: Investment
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Classifier: Programming Language :: Python :: 3
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Classifier: Operating System :: OS Independent
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Description-Content-Type: text/markdown
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License-File: LICENSE
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Requires-Dist: pytest
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# Nasdaq TotalView-ITCH 5.0 Parser
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[](https://pypi.org/project/itchfeed/)
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[](https://pypi.python.org/pypi/itchfeed)
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[](https://pypi.org/project/itchfeed/)
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[](https://pepy.tech/projects/itchfeed)
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[](https://www.codefactor.io/repository/github/bbalouki/itch)
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[](https://www.linkedin.com/in/bertin-balouki-simyeli-15b17a1a6/)
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[](https://paypal.me/bertinbalouki?country.x=SN&locale.x=en_US)
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[](https://opensource.org/licenses/MIT)
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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.
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## Overview
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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.
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## Features
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* **Parses ITCH 5.0 Binary Data:** Accurately interprets the binary message structures defined in the official specification.
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* **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.).
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* **Object-Oriented Representation:** Each ITCH message type is represented by a dedicated Python class (`SystemEventMessage`, `AddOrderMessage`, etc.), inheriting from a common `MarketMessage` base class.
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* **Flexible Input:** Reads and parses messages from:
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* Binary files (`.gz` or similar).
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* Raw byte streams (e.g., from network sockets).
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* **Data Decoding:** Provides a `.decode()` method on each message object to convert it into a human-readable `dataclass` representation, handling:
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* Byte-to-string conversion (ASCII).
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* Stripping padding spaces.
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* Price decoding based on defined precision.
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* **Timestamp Handling:** Correctly reconstructs the 6-byte (48-bit) nanosecond timestamps.
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* **Price Handling:** Decodes fixed-point price fields into floating-point numbers based on the standard 4 or 8 decimal place precision.
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* **Pure Python:** Relies only on the Python standard library . No external dependencies required.
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## Installation
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You can install this project using ``pip``
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1. **Clone the repository (or download the source code):**
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```bash
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pip install itchfeed
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```
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2. **Import the necessary modules** directly into your Python project:
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```python
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from itch.parser import MessageParser
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from itch.messages import ModifyOrderMessage
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```
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## Usage
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### Parsing from a Binary File
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This is useful for processing historical ITCH data stored in files. The `MessageParser` handles buffering efficiently.
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```python
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from itch.parser import MessageParser
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from itch.messages import AddOrderMessage, TradeMessage
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# Initialize the parser. Optionally filter messages by type.
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# parser = MessageParser(message_type=b"AP") # Only parse AddOrder and NonCrossTrade messages
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parser = MessageParser()
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# Path to your ITCH 5.0 data file
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itch_file_path = 'path/to/your/data'
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# you can find sample data [here](https://emi.nasdaq.com/ITCH/Nasdaq%20ITCH/)
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try:
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with open(itch_file_path, 'rb') as itch_file:
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# read_message_from_file returns a list of parsed message objects
|
|
104
|
+
parsed_messages = parser.read_message_from_file(itch_file)
|
|
105
|
+
|
|
106
|
+
print(f"Parsed {len(parsed_messages)} messages.")
|
|
107
|
+
|
|
108
|
+
# Process the messages
|
|
109
|
+
for message in parsed_messages:
|
|
110
|
+
# Access attributes directly
|
|
111
|
+
print(f"Type: {message.message_type.decode()}, Timestamp: {message.timestamp}")
|
|
112
|
+
|
|
113
|
+
if isinstance(message, AddOrderMessage):
|
|
114
|
+
print(f" Add Order: Ref={message.order_reference_number}, "
|
|
115
|
+
f"Side={message.buy_sell_indicator.decode()}, "
|
|
116
|
+
f"Shares={message.shares}, Stock={message.stock.decode().strip()}, "
|
|
117
|
+
f"Price={message.decode_price('price')}")
|
|
118
|
+
|
|
119
|
+
elif isinstance(message, TradeMessage):
|
|
120
|
+
print(f" Trade: Match={message.match_number}")
|
|
121
|
+
# Access specific trade type attributes...
|
|
122
|
+
|
|
123
|
+
# Get a human-readable dataclass representation
|
|
124
|
+
decoded_msg = message.decode()
|
|
125
|
+
print(f" Decoded: {decoded_msg}")
|
|
126
|
+
|
|
127
|
+
except FileNotFoundError:
|
|
128
|
+
print(f"Error: File not found at {itch_file_path}")
|
|
129
|
+
except Exception as e:
|
|
130
|
+
print(f"An error occurred: {e}")
|
|
131
|
+
|
|
132
|
+
```
|
|
133
|
+
|
|
134
|
+
### Parsing from Raw Bytes
|
|
135
|
+
|
|
136
|
+
This is suitable for real-time processing, such as reading from a network stream.
|
|
137
|
+
|
|
138
|
+
```python
|
|
139
|
+
from itch.parser import MessageParser
|
|
140
|
+
from itch.messages import AddOrderMessage
|
|
141
|
+
from queue import Queue
|
|
142
|
+
|
|
143
|
+
# Initialize the parser
|
|
144
|
+
parser = MessageParser()
|
|
145
|
+
|
|
146
|
+
# Simulate receiving a chunk of binary data (e.g., from a network socket)
|
|
147
|
+
# This chunk contains multiple ITCH messages, each prefixed with 0x00 and length byte
|
|
148
|
+
# Example: \x00\x0bS...\x00\x25R...\x00\x27F...
|
|
149
|
+
raw_binary_data: bytes = b"..." # Your raw ITCH 5.0 data chunk
|
|
150
|
+
|
|
151
|
+
# read_message_from_bytes returns a queue of parsed message objects
|
|
152
|
+
message_queue: Queue = parser.read_message_from_bytes(raw_binary_data)
|
|
153
|
+
|
|
154
|
+
print(f"Parsed {message_queue.qsize()} messages from the byte chunk.")
|
|
155
|
+
|
|
156
|
+
# Process messages from the queue
|
|
157
|
+
while not message_queue.empty():
|
|
158
|
+
message = message_queue.get()
|
|
159
|
+
|
|
160
|
+
print(f"Type: {message.message_type.decode()}, Timestamp: {message.timestamp}")
|
|
161
|
+
|
|
162
|
+
if isinstance(message, AddOrderMessage):
|
|
163
|
+
print(f" Add Order: Ref={message.order_reference_number}, "
|
|
164
|
+
f"Stock={message.stock.decode().strip()}, Price={message.decode_price('price')}")
|
|
165
|
+
|
|
166
|
+
# Use the decoded representation
|
|
167
|
+
decoded_msg = message.decode(prefix="Decoded")
|
|
168
|
+
print(f" Decoded: {decoded_msg}")
|
|
169
|
+
|
|
170
|
+
```
|
|
171
|
+
|
|
172
|
+
## Supported Message Types
|
|
173
|
+
|
|
174
|
+
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.
|
|
175
|
+
|
|
176
|
+
| Type (Byte) | Class Name | Description |
|
|
177
|
+
| :---------- | :-------------------------------- | :----------------------------------------------- |
|
|
178
|
+
| `S` | `SystemEventMessage` | System Event Message |
|
|
179
|
+
| `R` | `StockDirectoryMessage` | Stock Directory Message |
|
|
180
|
+
| `H` | `StockTradingActionMessage` | Stock Trading Action Message |
|
|
181
|
+
| `Y` | `RegSHOMessage` | Reg SHO Short Sale Price Test Restricted Indicator |
|
|
182
|
+
| `L` | `MarketParticipantPositionMessage`| Market Participant Position message |
|
|
183
|
+
| `V` | `MWCBDeclineLeveMessage` | Market-Wide Circuit Breaker (MWCB) Decline Level |
|
|
184
|
+
| `W` | `MWCBStatusMessage` | Market-Wide Circuit Breaker (MWCB) Status |
|
|
185
|
+
| `K` | `IPOQuotingPeriodUpdateMessage` | IPO Quoting Period Update Message |
|
|
186
|
+
| `J` | `LULDAuctionCollarMessage` | LULD Auction Collar Message |
|
|
187
|
+
| `h` | `OperationalHaltMessage` | Operational Halt Message |
|
|
188
|
+
| `A` | `AddOrderNoMPIAttributionMessage` | Add Order (No MPID Attribution) |
|
|
189
|
+
| `F` | `AddOrderMPIDAttribution` | Add Order (MPID Attribution) |
|
|
190
|
+
| `E` | `OrderExecutedMessage` | Order Executed Message |
|
|
191
|
+
| `C` | `OrderExecutedWithPriceMessage` | Order Executed With Price Message |
|
|
192
|
+
| `X` | `OrderCancelMessage` | Order Cancel Message |
|
|
193
|
+
| `D` | `OrderDeleteMessage` | Order Delete Message |
|
|
194
|
+
| `U` | `OrderReplaceMessage` | Order Replace Message |
|
|
195
|
+
| `P` | `NonCrossTradeMessage` | Trade Message (Non-Cross) |
|
|
196
|
+
| `Q` | `CrossTradeMessage` | Cross Trade Message |
|
|
197
|
+
| `B` | `BrokenTradeMessage` | Broken Trade / Order Execution Message |
|
|
198
|
+
| `I` | `NOIIMessage` | Net Order Imbalance Indicator (NOII) Message |
|
|
199
|
+
| `N` | `RetailPriceImprovementIndicator` | Retail Price Improvement Indicator (RPII) |
|
|
200
|
+
| `O` | `DLCRMessage` | Direct Listing with Capital Raise Message |
|
|
201
|
+
|
|
202
|
+
## Data Representation
|
|
203
|
+
|
|
204
|
+
* **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`.
|
|
205
|
+
* **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.
|
|
206
|
+
* **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`).
|
|
207
|
+
* **Strings:** Alpha fields are stored as `bytes`. The `.decode()` method converts these to ASCII strings and removes right-padding spaces.
|
|
208
|
+
* **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).
|
|
209
|
+
|
|
210
|
+
## Contributing
|
|
211
|
+
|
|
212
|
+
Contributions are welcome! If you find a bug, have a suggestion, or want to add a feature:
|
|
213
|
+
|
|
214
|
+
1. **Check Issues:** See if an issue for your topic already exists.
|
|
215
|
+
2. **Open an Issue:** If not, open a new issue describing the bug or feature request.
|
|
216
|
+
3. **Fork and Branch:** Fork the repository and create a new branch for your changes.
|
|
217
|
+
4. **Implement Changes:** Make your code changes, ensuring adherence to the ITCH 5.0 specification. Add tests if applicable.
|
|
218
|
+
5. **Submit Pull Request:** Open a pull request from your branch to the main repository, referencing the relevant issue.
|
|
219
|
+
|
|
220
|
+
## License
|
|
221
|
+
|
|
222
|
+
This project is licensed under the MIT License - see the [LICENSE](LICENSE) file for details.
|
|
223
|
+
|
|
224
|
+
## References
|
|
225
|
+
* **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.
|