NASDAQ-ITCH-5.0-Parser

Parses and prints the NASDAQ ITCH 5.0 data

Thanks to Quannabe. I just modified the YAML file for the nerw ITCH 5.0 format.

How To

The main function is location in src/parse.java. Just enter the file name and path to the ITCH file that you wanna parse here File Name.

Run Code

Compile the code and run it. Navigate to the src directory and run the following commands in your terminal.

  javac Parse.java
  java Parse [ITCH file path]

(Path can be left blank to read from stdin.)

ITCH Format Variations

Support is included for custom ITCH formats. See itch5.yaml for an example of how to construct an ITCH format configuration. To include a custom ITCH format configuration:

java Parse -y [YAML config] [ITCH file path]

Genium

Genium is supported out of box. Use the genium2.yaml config included in the repo:

java Parse -y ../genium2.yaml [ITCH file path]

Data

Download raw ITCH 5.0 data from the following link:

ftp://emi.nasdaq.com/ITCH/08022014.NASDAQ_ITCH50.gz

DATA FORMAT

http://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHspecification.pdf

(For Nasdaq Genium)

http://business.nasdaq.com/Docs/ITCHRefDataGuideNFXv2_00_tcm5044-18017.pdf