NASDAQ ITCH 5.0 Parser and Websocket Orderbook Server and python client

A zero-copy, low-latency NASDAQ TotalView ITCH 5.0 parser written in Rust.

Features

• Complete Support: Handles all 23 NASDAQ ITCH 5.0 message types
• Zero-Copy Parsing: Uses Unsafe for efficient binary parsing without unnecessary allocations
• Memory-Mapped Files: Fast access to large ITCH data files
• Low Latency: Optimized for high-performance market data processing
• Websocket Simulation: Replay historical data with realistic timing

Installation

# Clone the repository
git clone https://github.com/suhasghorp/nasdaq-itch-orderbook.git
cd nasdaq-itch-orderbook

# Build in release mode
cargo build --release

Usage

Running the Parser

NASDAQ ITCH 5.0 historical file can be downloaded here. The file contains pre-market orders starting from 3:30 AM EST and regular market orders starting from 9:30 AM EST.

./target/release/nasdaq-itch-orderbook -f /path_to_unzipped_itch_file/01302020.NASDAQ_ITCH50 -s AAPL -o ./orderbooks/AAPL_orderbook.csv

Running the Orderbook Websocket Server

Provide --websocket and -p flags to run the orderbook websocket server.

./target/release/nasdaq-itch-orderbook -f /path_to_unzipped_itch_file/01302020.NASDAQ_ITCH50 -s AAPL -o ./orderbooks/AAPL_orderbook.csv --websocket -p 8473

Options:

• -f, --file FILE: Input ITCH 5.0 file (required)
• -s, --symbol SYMBOL: Stock symbol (required)
• -o, --output OUTPUT: Output orderbook file (required)

Supported Message Types

Type	Message Type	Description
S	SystemEvent	System events like market open/close
R	StockDirectory	Stock symbol definitions
H	StockTradingAction	Trading halts/resumes
Y	RegSHORestriction	Short sale restrictions
L	MarketParticipantPosition	Market maker positions
V	MwcbDeclineLevel	Market-wide circuit breaker levels
W	MwcbStatus	Market-wide circuit breaker status
K	IpoQuotingPeriodUpdate	IPO related information
J	LuldAuctionCollar	Limit Up-Limit Down auction info
h	OperationalHalt	Exchange operational halts
A	AddOrder	New order added to book
F	AddOrderWithMpid	New order with market participant ID
E	OrderExecuted	Order execution (partial/full)
C	OrderExecutedWithPrice	Execution with price different from order
X	OrderCancel	Partial order cancellation
D	OrderDelete	Order removal from book
U	OrderReplace	Order modification
P	Trade	Non-cross trade
Q	CrossTrade	Cross trade execution
B	BrokenTrade	Trade cancellation
I	Noii	Net Order Imbalance Indicator
N	RpiiMessage	Retail Price Improvement Indicator
O	DirectListingPriceDiscovery	Direct Listing with Capital Raise price discovery

Output

2025-05-03T15:15:29.969304Z  INFO nasdaq_itch_orderbook: Processing ITCH data for symbol: AAPL
2025-05-03T15:15:29.974728Z  INFO nasdaq_itch_orderbook: File mapped: 12952050754 bytes
2025-05-03T15:15:30.163455Z  INFO nasdaq_itch_orderbook: Created Limit Orderbook for symbol: AAPL
2025-05-03T15:15:30.475260Z  INFO nasdaq_itch_orderbook::parser: Processed 10 Million messages, 32 Million messages per second
2025-05-03T15:15:30.931206Z  INFO nasdaq_itch_orderbook::parser: Processed 20 Million messages, 26 Million messages per second
2025-05-03T15:15:31.428438Z  INFO nasdaq_itch_orderbook::parser: Processed 30 Million messages, 23 Million messages per second
2025-05-03T15:15:31.929452Z  INFO nasdaq_itch_orderbook::parser: Processed 40 Million messages, 22 Million messages per second
2025-05-03T15:15:32.402297Z  INFO nasdaq_itch_orderbook::parser: Processed 50 Million messages, 22 Million messages per second
2025-05-03T15:15:32.887718Z  INFO nasdaq_itch_orderbook::parser: Processed 60 Million messages, 22 Million messages per second
2025-05-03T15:15:33.364011Z  INFO nasdaq_itch_orderbook::parser: Processed 70 Million messages, 21 Million messages per second
2025-05-03T15:15:33.866743Z  INFO nasdaq_itch_orderbook::parser: Processed 80 Million messages, 21 Million messages per second
2025-05-03T15:15:34.354235Z  INFO nasdaq_itch_orderbook::parser: Processed 90 Million messages, 21 Million messages per second
2025-05-03T15:15:34.820375Z  INFO nasdaq_itch_orderbook::parser: Processed 100 Million messages, 21 Million messages per second
2025-05-03T15:15:35.292347Z  INFO nasdaq_itch_orderbook::parser: Processed 110 Million messages, 21 Million messages per second
2025-05-03T15:15:35.825297Z  INFO nasdaq_itch_orderbook::parser: Processed 120 Million messages, 21 Million messages per second
2025-05-03T15:15:36.346950Z  INFO nasdaq_itch_orderbook::parser: Processed 130 Million messages, 21 Million messages per second
2025-05-03T15:15:36.856546Z  INFO nasdaq_itch_orderbook::parser: Processed 140 Million messages, 20 Million messages per second
2025-05-03T15:15:37.331140Z  INFO nasdaq_itch_orderbook::parser: Processed 150 Million messages, 20 Million messages per second
2025-05-03T15:15:37.835436Z  INFO nasdaq_itch_orderbook::parser: Processed 160 Million messages, 20 Million messages per second
2025-05-03T15:15:38.369033Z  INFO nasdaq_itch_orderbook::parser: Processed 170 Million messages, 20 Million messages per second
2025-05-03T15:15:38.864065Z  INFO nasdaq_itch_orderbook::parser: Processed 180 Million messages, 20 Million messages per second
2025-05-03T15:15:39.384653Z  INFO nasdaq_itch_orderbook::parser: Processed 190 Million messages, 20 Million messages per second
2025-05-03T15:15:39.902475Z  INFO nasdaq_itch_orderbook::parser: Processed 200 Million messages, 20 Million messages per second
2025-05-03T15:15:40.435653Z  INFO nasdaq_itch_orderbook::parser: Processed 210 Million messages, 20 Million messages per second
2025-05-03T15:15:40.973174Z  INFO nasdaq_itch_orderbook::parser: Processed 220 Million messages, 20 Million messages per second
2025-05-03T15:15:41.522480Z  INFO nasdaq_itch_orderbook::parser: Processed 230 Million messages, 20 Million messages per second
2025-05-03T15:15:42.038358Z  INFO nasdaq_itch_orderbook::parser: Processed 240 Million messages, 20 Million messages per second
2025-05-03T15:15:42.567348Z  INFO nasdaq_itch_orderbook::parser: Processed 250 Million messages, 20 Million messages per second
2025-05-03T15:15:43.078166Z  INFO nasdaq_itch_orderbook::parser: Processed 260 Million messages, 20 Million messages per second
2025-05-03T15:15:43.609642Z  INFO nasdaq_itch_orderbook::parser: Processed 270 Million messages, 20 Million messages per second
2025-05-03T15:15:44.176112Z  INFO nasdaq_itch_orderbook::parser: Processed 280 Million messages, 19 Million messages per second
2025-05-03T15:15:44.750992Z  INFO nasdaq_itch_orderbook::parser: Processed 290 Million messages, 19 Million messages per second
2025-05-03T15:15:45.316910Z  INFO nasdaq_itch_orderbook::parser: Processed 300 Million messages, 19 Million messages per second
2025-05-03T15:15:45.844035Z  INFO nasdaq_itch_orderbook::parser: Processed 310 Million messages, 19 Million messages per second
2025-05-03T15:15:46.363402Z  INFO nasdaq_itch_orderbook::parser: Processed 320 Million messages, 19 Million messages per second
2025-05-03T15:15:46.849406Z  INFO nasdaq_itch_orderbook::parser: Processed 330 Million messages, 19 Million messages per second
2025-05-03T15:15:47.408745Z  INFO nasdaq_itch_orderbook::parser: Processed 340 Million messages, 19 Million messages per second
2025-05-03T15:15:47.960457Z  INFO nasdaq_itch_orderbook::parser: Processed 350 Million messages, 19 Million messages per second
2025-05-03T15:15:48.520954Z  INFO nasdaq_itch_orderbook::parser: Processed 360 Million messages, 19 Million messages per second
2025-05-03T15:15:49.034642Z  INFO nasdaq_itch_orderbook::parser: Processed 370 Million messages, 19 Million messages per second
2025-05-03T15:15:49.548655Z  INFO nasdaq_itch_orderbook::parser: Processed 380 Million messages, 19 Million messages per second
2025-05-03T15:15:50.085285Z  INFO nasdaq_itch_orderbook::parser: Processed 390 Million messages, 19 Million messages per second
2025-05-03T15:15:50.642066Z  INFO nasdaq_itch_orderbook::parser: Processed 400 Million messages, 19 Million messages per second
2025-05-03T15:15:51.147423Z  INFO nasdaq_itch_orderbook::parser: Processed 410 Million messages, 19 Million messages per second
2025-05-03T15:15:51.651673Z  INFO nasdaq_itch_orderbook::parser: Processed 420 Million messages, 19 Million messages per second
Processed 423285708 messages
Wrote 1993352 orderbook updates
2025-05-03T15:15:51.930905Z  INFO nasdaq_itch_orderbook: Processing completed in 21.77s
2025-05-03T15:15:51.930930Z  INFO nasdaq_itch_orderbook: Throughput: 567.46 MB/s

python visualization of LOB

python ./visualize.py

License

This project is licensed under the MIT License - see the LICENSE file for details.

References

• NASDAQ TotalView-ITCH 5.0 Specification