Itch Protocol for HFT
Itch is a direct data-feed protocol for accessing market data and is used for information exchange. It helps clients to track the status of each of their orders whether they’ve been executed or canceled from the beginning of order placement. Here are some details on implementation of its decoder.
Decoded Message Types:
Similar to ouch decoder, itch decoder is also divided into three stages. First stage identifies the message types, second extracts the direct values available in input data for a given message type and the third stage decodes the relevant information from the second stage as per the itch specification. Here too the latency of output corresponds to the different stages.
For testing we first designed input encoded stimulus such that every output(221 ports) of the itch engine is triggered in a way that is easier to analyze. Upon close inspection of input and output mapping, the itch engine design worked as expected.
Note: For more details on Itch protocol engine for HFT, please write us at email@example.com.