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BrokerTec ITCH Market Data Handler

OnixS directConnect: BrokerTec ITCH Market Data Handler is a C++ library that provides ultra-low latency access to BrokerTec ITCH Market Data Feed via multicast UDP.

Key Features

  • Low latency, high throughput
  • High-level and easy-to-use API that enables quick integration of BrokerTec ITCH Market Data without deep involvement in the specific protocols
  • Full Depth Order Books building
  • Automatic detection and recovery from failure scenarios (retransmission and recovery mechanism)
  • Highly configurable logging
  • Getting Started, Benchmark and Backtesting samples designed to get up and running rapidly
  • Light hardware and deployment requirements
  • Supports BrokerTec ITCH Feed-A and Feed-B architecture based on ITCH MoldUDP64 multicast with ITCH Rewinder
  • Full support of all the messages types

BrokerTec ITCH Market Data Handler

Supported Messages

  • Seconds Message
  • Order book Directory Message
  • Combination Order book Directory Message
  • Tick Size Table Entry Message
  • System Event Message
  • Order book State Message
  • Workup Information Message
  • Add Order Messages
  • Add Order – No MPID Attribution
  • Add Order – MPID Attribution
  • Modify Order Messages
  • Order Executed Message
  • Order Executed with Price Message
  • Order Replace Message
  • Order Delete Message
  • Trade Message
  • Trade Summary Message
  • Equilibrium Price Update Message