Filter Market Data Messages in an FPGA – part 1
So I went to NASDAQs ftp site and downloaded the entire ITCH feed for November 9th, 2013. The file was large – 319MB compressed, and you can download it yourself from here: ftp://emi.nasdaq.com/ITCH/11092013.NASDAQ_ITCH41.gz. NASDAQ has a very simple document describing the specification here: http://nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTV-ITCH-V4_1.pdf I skimmed over the specification to get an idea of how Market … Read more