As Nasdaq migrates from the Nasdaq OMX Genium INET, to the new Nasdaq Financial Framework (NFF) platform across all Nasdaq's U.S. and European markets and asset classes. Context into the origins, technical insight, usage and associated updates to the ITCH protocol are available here.
Nasdaq’s migration to the Nasdaq Financial Framework (NFF) platform
Nasdaq’s migration from the Nasdaq OMX Genium INET, to the new Nasdaq Financial Framework (NFF) platform - across all Nasdaq's U.S. and European markets and asset classes is driving mandated change for ITCH protocol based market data feed SDKs.
Why? Because the ITCH protocol versions used by the Nasdaq OMX Genium INET platform and the Nasdaq NFF next-generation platform are not plug and play compatible, direct market access updates for market participants will soon be mandated. Here, we give context into the origins, technical insight, usage, and NFF updates to ITCH market data feeds.
Understanding the ITCH Protocol: Origins and Usage
The ITCH Protocol is widely used today, on both Nasdaq owned liquidity pools/exchanges, and other non-Nasdaq venues that use the Nasdaq OMX Genium INET and Nasdaq Financial Framework (NFF) exchange technology platforms.
Originating from Nasdaq in January 2000, with the release of “ITCH Version 1.00”, the ITCH protocol evolved when the FIX protocol market data messages were considered too heavy, thus inefficient for bandwidth utilisation.
This restriction led to the development of the bandwidth-reducing FIX Adapted for Streaming (FAST) protocol - yet industry adoption of FAST was negatively impacted by an alleged FIX FAST patent infringement lawsuit.
As a result, the SBE (Simple Binary Encoding) protocol was a subsequent FIX Standards development that is optimised for low latency and deterministic performance and is today used in both market data feeds and order entry APIs.
Today, the ITCH Protocol is used across both Nasdaq owned liquidity pools/exchanges, and other non-Nasdaq venues using the Nasdaq OMX Genium INET and Nasdaq Financial Framework (NFF) platforms. There are also ITCH variants that use the same ITCH binary message encoding, but there are venue specific variations in the ITCH messages.
This means that not all ITCH based exchange feeds are identical, but the transport protocol implementations are common. Alongside SBE, ITCH has become one of the industry de facto standards for market data feeds.
Example implementations include:
- The Nasdaq Financial Framework (NFF) SDK implementation for Nasdaq Fixed Income (NFI)
- ASX Trade, which is the integrated equities and derivative trading platform based NASDAQ OMX’s Genium INET platform, offering three different API interfaces: ITCH, OUCH and Open Interface (OI) OMNet C++ API
- SGX Titan ITCH and Glimpse based on NASDAQ OMX’s Genium INET platform using MoldUDP64 ITCH message binary encoding
- NZX, which uses the new Nasdaq Financial Framework (NFF) technology upgraded to Nasdaq ME (Matching Engine) supporting industry-standard Native FIX, ITCH and OUCH protocols. Native FIX supports order entry and negotiated deal reporting, while ITCH and OUCH provide the high speed, ultra-low latency data feed and algorithmic trading abilities
- Cboe have an ITCH variant called Cboe PITCH
- Other venues, which have historically had variously named implementations that used contextual similar naming (MITCH and Scratch) for functionally equivalent market data feeds.
ITCH protocol usage: MoldUDP64 broadcast, GLIMPSE order-book snapshot, and SoupBinTCP point-to-point protocol
The most common concepts around the ITCH protocol usage are:
- MoldUDP64. This is a networking protocol built on top of UDP designed for one-to-many data broadcast contexts. Client listeners subscribe to a UDP multicast group to receive the downstream data. Data packet sequence and delivery is not guaranteed therefore the protocol provides a mechanism for listeners to detect and re-request missed packets. Clients can submit a Request message via TCP/unicast to venue-specific IP address/ports for any desired missed data packets. These retransmitted packets are also sent via UDP unicast in response to the Request message.
- The GLIMPSE order-book snapshot feed, which complements the ITCH broadcast feed by supporting a point-to-point TCP (e.g: SoupBinTCP) data feed connection that provides a snapshot of the current state of the Order Book. At the end of the Glimpse snapshot a sequence number is provided that can be used to sync up with the real-time UDP ITCH sequenced message feed.
- The SoupBinTCP point-to-point protocol, supports the guaranteed delivery of sequenced messages from a server to a client in real-time. It also supports clients sending messages to the server where these messages are not sequenced, and delivery is not guaranteed. Common usage context is the GLIMPSE order-book snapshot feed as previously described but it can also be used as the primary market data feed instead of the MoldUDP64 based broadcast feed.
Evolution of the Nasdaq Exchange Platform
The new Nasdaq Financial Framework (NFF) is the successor technology platform to the Nasdaq OMX Genium INET platform.
The trading APIs used by Nasdaq OMX Genium INET platform-based venues include OMNet, ITCH and OUCH APIs. The OMNet API is a low level C++ library based API that is widely functional but expensive in terms of software development to implement and support.
The new alternatives provided by the new Nasdaq Financial Framework (NFF) platform, include supports ITCH market data, OUCH for order entry, and FIX for order entry and post-trade feeds. These are non-backward compatible mandated updates. You can access more details on the current Nasdaq Exchanges access API’s here.
Typical Deployment - and Why Direct Market Access Updates are Crucial
A typical deployment pattern for an ITCH Market Data feed uses a UDP (e.g: MoldUDP64) transport containing data describing all public orders and trades that occur on the venue/liquidity pool, and a Glimpse snapshot recovery TCP e.g: SoupBinTCP) API.
The ITCH protocol versions used by the Nasdaq OMX Genium INET platform and the Nasdaq NFF next-generation platform are not plug and play compatible. Therefore direct market access updates for market participants will be mandated, as Nasdaq migrates to this new common technical platform across all Nasdaq's U.S. and European markets and asset classes.
At the time of writing the Nordic Equity Derivatives (EqD) markets, currently on the Genium INET platform, are moving to a new Global Derivatives Trading System based on INET technology that leverages the Nasdaq Financial Framework (NFF). This will be interesting to watch as a test case for what is to come.
You can access more details on Financial Markets Binary Protocols and the ITCH Protocol here:
Request Evaluation Access to OnixS ITCH Protocol SDKs
For more information on OnixS ITCH protocol SDKS, you can read more here:
- OnixS directConnect Nasdaq Direct Market Access SDK solutions
- OnixS directConnect Nasdaq Fixed Income (NFI) ITCH Market Data Handler SDK
- OnixS directConnect ITCH Market Data Handler SDK