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https://github.com/runk/itch
Nasdaq ITCH data feed parser and tools
https://github.com/runk/itch
Last synced: 2 months ago
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Nasdaq ITCH data feed parser and tools
- Host: GitHub
- URL: https://github.com/runk/itch
- Owner: runk
- License: mit
- Created: 2021-04-27T12:26:57.000Z (over 3 years ago)
- Default Branch: master
- Last Pushed: 2024-08-01T21:29:50.000Z (5 months ago)
- Last Synced: 2024-08-02T20:16:49.804Z (5 months ago)
- Language: TypeScript
- Size: 1.61 MB
- Stars: 3
- Watchers: 2
- Forks: 2
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
- License: LICENSE
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README
# 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:
```shell
npx itch.js -f ~/Downloads/01302020.NASDAQ_ITCH50 -n 100 -l 13
```
```
Usage: itch [options]
Options:
-V, --version output the version number
-f, --file Input file with ITCH data feed
-t, --type Filter by a specific message type, e.g. "R" or "A"
-b, --binary Raw data (binary) output
-l, --locate Filter by a specific locate
-n, --head Number of output messages
-h, --help display help for command
```
## Reference
https://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHSpecification.pdf