Crate itchy

itchy - a nom-based parser for the NASDAQ ITCH protocol 5.0

It aims to sensibly handle the whole protocol. It is zero-allocation and pretty fast. It will process several million messages per second on a decent CPU.

Typical usage:

extern crate itchy;

let stream = itchy::MessageStream::from_file("/path/to/file.itch").unwrap();
for msg in stream {
    println!("{:?}", msg.unwrap())
}

The protocol specification can be found on the NASDAQ website

Modules

• errors

Macros

• d128
  A macro to construct d128 literals.

Structs

• AddOrder
• ArrayString
  A string with a fixed capacity.
• CrossTrade
• ImbalanceIndicator
• IpoQuotingPeriod
• MarketParticipantPosition
• Message
  An ITCH protocol message. Refer to the protocol spec for interpretation.
• MessageStream
  Represents an iterable stream of ITCH protocol messages
• NonCrossTrade
• Price4
  Opaque type representing a price to four decimal places
• Price8
  Opaque type representing a price to eight decimal places
• ReplaceOrder
• RetailPriceImprovementIndicator
• StockDirectory
• d128
  A 128-bit decimal floating point type.

Enums

• Body
  The message body. Refer to the protocol spec for interpretation.
• CrossType
• EventCode
• FinancialStatus
• ImbalanceDirection
• InterestFlag
• IpoReleaseQualifier
• IssueClassification
• IssueSubType
• LevelBreached
• LuldRefPriceTier
• MarketCategory
• MarketMakerMode
• MarketParticipantState
• RegShoAction
• Side
• TradingState

Type Definitions

• ArrayString4
  Stack-allocated string of size 4 bytes (re-exported from arrayvec)
• ArrayString8
  Stack-allocated string of size 8 bytes (re-exported from arrayvec)