ITCH Protocol
ITCH is a proprietary market data protocol developed by Nasdaq that provides direct data feeds for order book information. It uses an efficient binary format to deliver detailed market data with minimal latency, making it essential for high-frequency trading and real-time market analysis.
How ITCH works
ITCH is designed as a one-way, non-acknowledgment required protocol that broadcasts market data in a binary format. The protocol delivers order-level data, including:
- Order additions
- Order modifications
- Order cancellations
- Trade executions
- Administrative messages
Each message type has a specific format with fixed-length fields, enabling rapid parsing and processing. This design choice prioritizes performance over human readability, making it ideal for algorithmic trading systems.
Market data delivery
The protocol supports multiple delivery methods:
UDP Multicast is typically used for primary data distribution, while SoupBinTCP provides a reliable backup feed with sequence number tracking and gap detection.
Performance characteristics
ITCH is optimized for:
- Minimal latency
- High message throughput
- Efficient bandwidth utilization
- Deterministic message parsing
These characteristics make it particularly valuable for applications requiring tick-to-trade latency optimization.
Next generation time-series database
QuestDB is an open-source time-series database optimized for market and heavy industry data. Built from scratch in Java and C++, it offers high-throughput ingestion and fast SQL queries with time-series extensions.
Market depth representation
ITCH provides complete market depth information through individual order messages, allowing trading systems to:
- Reconstruct the full order book
- Track order lifecycle events
- Monitor real-time market data changes
- Calculate derived metrics
Integration considerations
When implementing ITCH feeds, systems must consider:
- Message sequencing and recovery
- Binary protocol parsing efficiency
- Network infrastructure requirements
- Feed arbitration and failover
- Data quality monitoring
Applications
ITCH is widely used in:
- High-frequency trading systems
- Market making operations
- Risk management platforms
- Market surveillance systems
- Order book analytics
The protocol's efficiency makes it particularly valuable for applications requiring minimal wire-to-wire latency.
Market impact
ITCH has become a standard for high-performance market data delivery, influencing:
- Trading system architecture
- Network infrastructure design
- Market data processing strategies
- Exchange connectivity solutions
Its adoption has contributed to the evolution of modern electronic trading infrastructure and market data distribution systems.