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itch's Introduction

Nasdaq ITCH data feed parser and tools

Data

Sample data is availabe for free download from ftp://emi.nasdaq.com/ITCH/

Command line tool

Features:

  • Repackaging the bigger data file into smaller sets
  • Filter by message type
  • Filter by locate
  • Limit output to N messages
  • Raw and json output formats

Basic usage

To get first 100 messages of locate 13 (AAPL - Apple) in json format:

npx itch.js -f ~/Downloads/01302020.NASDAQ_ITCH50 -n 100 -l 13
Usage: itch [options]

Options:
  -V, --version          output the version number
  -f, --file <string>    Input file with ITCH data feed
  -t, --type <string>    Filter by a specific message type, e.g. "R" or "A"
  -b, --binary           Raw data (binary) output
  -l, --locate <number>  Filter by a specific locate
  -n, --head <number>    Number of output messages
  -h, --help             display help for command

Reference

https://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHSpecification.pdf

itch's People

Contributors

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Forkers

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itch's Issues

Dependency Dashboard

This issue lists Renovate updates and detected dependencies. Read the Dependency Dashboard docs to learn more.

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  • chore(deps): update dependency ts-node to v10.9.2
  • chore(deps): update dependency @types/node to v20
  • chore(deps): update dependency ava to v6
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Detected dependencies

github-actions
.github/workflows/build.yml
  • actions/checkout v3
  • actions/setup-node v3
.github/workflows/release.yml
  • actions/checkout v3
  • actions/setup-node v3
npm
package.json
  • commander 9.4.1
  • @types/node 18.11.9
  • ava 5.0.1
  • prettier 2.7.1
  • ts-node 10.9.1
  • typescript 4.8.4
  • Check this box to trigger a request for Renovate to run again on this repository

ITCH sample files gone/moved

It looks like the FTP server is gone or has moved elsewhere - any idea if/where one could get samples files going forward?

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