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

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
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
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)