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LSE Level 2 ITCH

OnixS directConnect: LSE Level 2 ITCH Market Data Handler is a C++ library that provides ultra-low latency access to LSE Level 2 ITCH Market Data via multicast UDP and TCP/IP interfaces.

Key Features

  • Low latency, high throughput
  • High-level and easy-to-use API that enables quick integration of LSE Level 2 ITCH Market Data without deep involvement in the specific protocols
  • Order Books building
  • Automatic detection and recovery from failure scenarios
  • Flexible filtering
  • Highly configurable logging
  • Getting Started, Benchmark and Log Replay samples designed to get up and running rapidly
  • Light hardware and deployment requirements
  • Full support of all the messages types

LSE Level 2 ITCH Market Data Handler by OnixS

 

Supported Message Types

Administrative Messages

  • LoginRequest
  • ReplayRequest
  • SnapshotRequest
  • LogoutRequest
  • LoginResponse
  • ReplayResponse
  • SnapshotResponse
  • SnapshotComplete

Application Messages

  • Time
  • SystemEvent
  • SymbolDirectory
  • SymbolStatus
  • AddOrder
  • AddAttributedOrder
  • OrderDeleted
  • OrderModified
  • OrderBookClear
  • OrderExecuted
  • OrderExecutedWithPrice
  • Trade
  • AuctionTrade
  • OffBookTrade
  • TradeBreak
  • AuctionInfo
  • Statistics