itch5 0.1.2

Parser for Nasdaq TotalView-ITCH 5.0
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192

use crate::messages::*;
use std::ops::ControlFlow;
use thiserror::Error;
use zerocopy::{FromBytes, Immutable, KnownLayout};

#[derive(Debug, PartialEq, Eq, Error)]
pub enum ParseError {
    #[error("attempted to parse empty input")]
    EmptyBuffer,
    #[error("unknown message type {0}")]
    UnknownMessageType(u8),
    #[error("malformed input data")]
    MalformedData,
}

pub trait MessageHandler {
    fn on_system_event_message(&mut self, _msg: &SystemEventMessage) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_stock_directory(&mut self, _msg: &StockDirectory) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_stock_trading_action(&mut self, _msg: &StockTradingAction) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_reg_sho_restriction(&mut self, _msg: &RegSHORestriction) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_market_participant_position(
        &mut self,
        _msg: &MarketParticipantPosition,
    ) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_mwcb_decline_level_message(&mut self, _msg: &MWCBDeclineLevelMessage) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_mwcb_status_message(&mut self, _msg: &MWCBStatusMessage) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_quoting_period_update(&mut self, _msg: &QuotingPeriodUpdate) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_luld_auction_collar(&mut self, _msg: &LULDAuctionCollar) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_operational_halt(&mut self, _msg: &OperationalHalt) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_add_order_no_mpid_attribution(
        &mut self,
        _msg: &AddOrderNoMPIDAttribution,
    ) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_add_order_with_mpid_attribution(
        &mut self,
        _msg: &AddOrderWithMPIDAttribution,
    ) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_order_executed_message(&mut self, _msg: &OrderExecutedMessage) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_order_executed_with_price_message(
        &mut self,
        _msg: &OrderExecutedWithPriceMessage,
    ) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_order_cancel_message(&mut self, _msg: &OrderCancelMessage) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_order_delete_message(&mut self, _msg: &OrderDeleteMessage) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_order_replace_message(&mut self, _msg: &OrderReplaceMessage) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_trade_message(&mut self, _msg: &TradeMessage) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_cross_trade_message(&mut self, _msg: &CrossTradeMessage) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_broken_trade_message(&mut self, _msg: &BrokenTradeMessage) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_net_order_imbalance_indicator_message(
        &mut self,
        _msg: &NetOrderImbalanceIndicatorMessage,
    ) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_retail_price_improvement_indicator(
        &mut self,
        _msg: &RetailPriceImprovementIndicator,
    ) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
    fn on_direct_listing_with_capital_raise_price_discovery_message(
        &mut self,
        _msg: &DirectListingwithCapitalRaisePriceDiscoveryMessage,
    ) -> ControlFlow<()> {
        ControlFlow::Continue(())
    }
}

pub struct Parser<'a> {
    buf: &'a [u8],
}

impl<'a> Parser<'a> {
    pub fn new(buf: &'a [u8]) -> Self {
        Self { buf }
    }
    pub fn parse_stream(&mut self, handler: &mut impl MessageHandler) -> Result<(), ParseError> {
        while !self.buf.is_empty() {
            let (body, rest) = parse_one(self.buf)?;
            self.buf = rest;
            // body[0] is guaranteed to be a known tag by parse().
            let cf = match body[0] {
                b'S' => handler.on_system_event_message(cast(body)?),
                b'R' => handler.on_stock_directory(cast(body)?),
                b'H' => handler.on_stock_trading_action(cast(body)?),
                b'Y' => handler.on_reg_sho_restriction(cast(body)?),
                b'L' => handler.on_market_participant_position(cast(body)?),
                b'V' => handler.on_mwcb_decline_level_message(cast(body)?),
                b'W' => handler.on_mwcb_status_message(cast(body)?),
                b'K' => handler.on_quoting_period_update(cast(body)?),
                b'J' => handler.on_luld_auction_collar(cast(body)?),
                b'h' => handler.on_operational_halt(cast(body)?),
                b'A' => handler.on_add_order_no_mpid_attribution(cast(body)?),
                b'F' => handler.on_add_order_with_mpid_attribution(cast(body)?),
                b'E' => handler.on_order_executed_message(cast(body)?),
                b'C' => handler.on_order_executed_with_price_message(cast(body)?),
                b'X' => handler.on_order_cancel_message(cast(body)?),
                b'D' => handler.on_order_delete_message(cast(body)?),
                b'U' => handler.on_order_replace_message(cast(body)?),
                b'P' => handler.on_trade_message(cast(body)?),
                b'Q' => handler.on_cross_trade_message(cast(body)?),
                b'B' => handler.on_broken_trade_message(cast(body)?),
                b'I' => handler.on_net_order_imbalance_indicator_message(cast(body)?),
                b'N' => handler.on_retail_price_improvement_indicator(cast(body)?),
                b'O' => handler
                    .on_direct_listing_with_capital_raise_price_discovery_message(cast(body)?),
                unknown => return Err(ParseError::UnknownMessageType(unknown)),
            };
            if cf.is_break() {
                break;
            }
        }
        Ok(())
    }
}

/// Parse a single ITCH 5.0 framed message from `buf`.
///
/// Returns the message body (the bytes after the 2-byte length prefix,
/// starting with the message-type tag) and the remainder of the buffer.
/// Use this when you only need the raw bytes — e.g. to forward them to
/// another consumer — and don't care about the typed contents.
///
/// The tag byte is validated so that framing errors surface immediately
/// rather than silently propagating garbage downstream.
#[inline]
pub fn parse_one(buf: &[u8]) -> Result<(&[u8], &[u8]), ParseError> {
    let (len_bytes, rest) = buf.split_at_checked(2).ok_or(ParseError::EmptyBuffer)?;
    let msg_len = u16::from_be_bytes(len_bytes.try_into().unwrap()) as usize;
    let (body, rest) = rest
        .split_at_checked(msg_len)
        .ok_or(ParseError::MalformedData)?;
    match body.first() {
        Some(
            b'S' | b'R' | b'H' | b'Y' | b'L' | b'V' | b'W' | b'K' | b'J' | b'h' | b'A' | b'F'
            | b'E' | b'C' | b'X' | b'D' | b'U' | b'P' | b'Q' | b'B' | b'I' | b'N' | b'O',
        ) => Ok((body, rest)),
        Some(&unknown) => Err(ParseError::UnknownMessageType(unknown)),
        None => Err(ParseError::MalformedData),
    }
}

/// Attempts to cast bytes as message of type `T`.
/// Generally callers should prefer [`Parser::parse_stream`] or [`parse_one`] over this.
///
/// Note:
/// - `body` should begin with the message's appropriate tag.
/// - `body` should not contain the length prefix.
#[inline]
pub fn cast<T: FromBytes + KnownLayout + Immutable>(body: &[u8]) -> Result<&T, ParseError> {
    T::ref_from_bytes(body).map_err(|_| ParseError::MalformedData)
}