Nasdaq ITCH data feed parser and tools

Data

Sample data is availabe for free download from ftp://emi.nasdaq.com/ITCH/

Command line tool

Features:

- Repackaging the bigger data file into smaller sets
- Filter by message type
- Filter by locate
- Limit output to N messages
- Raw and json output formats

$3

To get first 100 messages of locate 13 (AAPL - Apple) in json format:

``shell
npx itch.js -f ~/Downloads/01302020.NASDAQ_ITCH50 -n 100 -l 13
`

`
Usage: itch [options]

Options:
-V, --version output the version number
-f, --file Input file with ITCH data feed
-t, --type Filter by a specific message type, e.g. "R" or "A"
-b, --binary Raw data (binary) output
-l, --locate Filter by a specific locate
-n, --head Number of output messages
-h, --help display help for command
``

Reference

https://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHSpecification.pdf