ITCH Protocol

The ITCH binary protocol is used for disseminating detailed full-depth, order-level market data messages with ultra-low latency.

ITCH includes messages that cover the following areas:

• order lifecycle events (added, executed, canceled, deleted, replaced)
• trades (provide execution details for match events involving non-displayable order types)
• security definitions and statuses
• market events
• data feed events

ITCH Protocol usually defines the business-level message formats only and does not include a transport-level protocol. Messages are delivered using a lower-level transport protocol that takes care of sequencing, re-transmission, and
delivery guarantees (e.g., SoupBinTCP or MoldUDP64).

There are many ITCH Protocol variations because exchanges use different business-level messages depending on the business context of the data feed.

ITCH Protocol logical stream is a series of sequenced binary messages.

Each ITCH message has a fixed length. Fields lengths and positions are also fixed. The message type field is the first field of the message.

ITCH Protocols uses the following binary data types:

• Integers - big-endian (network byte order) binary encoded numbers
• Alphanumeric strings – fixed-length ASCII coded strings, padded with white spaces
• Prices - integers with an associated implied precision
• Timestamps - nanoseconds since midnight
• Bitmasks - every set bit represents a particular value

ITCH Message Example

Binary message (in hexadecimal format):

0x410000000000000000000003ea00000000000500cd4200000001000000000000000100000000

The Decoded ITCH message:

See also

• ITCH Market Data Handler SDK
• ITCH: Origins, Industry Context, Usage, and Updates