I just created a ‘Page’ as opposed to a WordPress ‘Post’ documenting how I was able to parse BATS Market Data messages. This new style or format will be much better than my writing multiples posts. Easier for the reader to find, and easier for me to find and to update an article. Anyway, look … Read more
Filter Market Data Messages in an FPGA – part 3 Note: Skip directly to GitHub.com to download the source code by following this link: https://github.com/fpganow/MarketData System Requirements: LabVIEW 2016 LabVIEW 2016 FPGA Module http://www.ni.com/labview/ This post will cover the next iteration of implementing an OrderBook inside an FPGA that is based on a NASDAQ ITCH … Read more
Skip directly to the source code on Github.com here: https://github.com/JohnStratoudakis/LabVIEW_Fpga/tree/master/MarketData/MarketData_01 So what now. We know what a NASDAQ ITCH 4.1 Market Data Message looks like. The format is very simple, there is some – yes – ASCII data in the message format, and all messages are preceded by the message length. Message length preceding the … Read more
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