\n| 6-13<\/td>\n | 8<\/td>\n | \n 00 00 00 00 00 00 031 6b<\/span><\/p>\n<\/td>\n | Order reference number<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n Order Cancel\u00a0Message<\/strong><\/p>\n\n\n\nbyte #<\/span><\/em><\/td>\nlength<\/span><\/em><\/td>\ndata<\/span><\/em><\/td>\ndescription<\/span><\/em><\/td>\n<\/tr>\n\n| 0<\/td>\n | 1<\/td>\n | 0x (decimal: )<\/td>\n | Length<\/td>\n<\/tr>\n | \n| 1<\/td>\n | 1<\/td>\n | 0x58<\/td>\n | Message Type ‘X’<\/td>\n<\/tr>\n | \n| 2-5<\/td>\n | 4<\/td>\n | \n 21 dd db e1<\/span><\/p>\n<\/td>\n | Nanoseconds portion of timestamp<\/td>\n<\/tr>\n | \n| 6-13<\/td>\n | 8<\/td>\n | \n 00 00 00 00 00 25 42 b7<\/span><\/p>\n<\/td>\n | Order reference number<\/td>\n<\/tr>\n | \n| 14-17<\/td>\n | 4<\/td>\n | \n 00 00 00 <\/span>0a <\/span><\/p>\n<\/td>\n | Number of shares being removed from order. \u00a0Hmmm… is someone backing out of a position? Scared!!! that means sell! Eh, maybe not, they only removed 10 shares. \u00a0But what if they are trading a high-priced stock like Amazon or Google? Oops, I meant Alphabet… and what about Berkshire Hathaway?<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n Okay, so we have Add Order, Remove Order, Shorten Order. \u00a0What is left? Order Execute and Order Modify. \u00a0I will go with Order Executed.<\/p>\n Order Executed\u00a0Message<\/strong><\/p>\n\n\n\nbyte #<\/span><\/em><\/td>\nlength<\/span><\/em><\/td>\ndata<\/span><\/em><\/td>\ndescription<\/span><\/em><\/td>\n<\/tr>\n\n| 0<\/td>\n | 1<\/td>\n | 0x19 (decimal: )<\/td>\n | Length<\/td>\n<\/tr>\n | \n| 1<\/td>\n | 1<\/td>\n | 0x45<\/td>\n | Message Type ‘E’<\/td>\n<\/tr>\n | \n| 2-5<\/td>\n | 4<\/td>\n | \n 18 45 cd 07<\/span><\/p>\n<\/td>\n | Nanoseconds portion of timestamp<\/td>\n<\/tr>\n | \n| 6-13<\/td>\n | 8<\/td>\n | \n \u00a0<\/span><\/p>\n00 00 00 00 00 00 e9 ca<\/span><\/p>\n<\/td>\n | Order reference number<\/td>\n<\/tr>\n | \n| 14-17<\/td>\n | 4<\/td>\n | \u00a000 00 03 e8<\/td>\n | Number of shares executed<\/td>\n<\/tr>\n | \n| 18-25<\/td>\n | 8<\/td>\n | \n 00 00 00 00 00 00 00 01<\/span><\/p>\n<\/td>\n | \u00a0NASDAQ generated day-unique match number.<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n Order Executed\u00a0with Price Message<\/strong><\/p>\n\n\n\nbyte #<\/span><\/em><\/td>\nlength<\/span><\/em><\/td>\ndata<\/span><\/em><\/td>\ndescription<\/span><\/em><\/td>\n<\/tr>\n\n| 0<\/td>\n | 1<\/td>\n | 0x1e (decimal: )<\/td>\n | Length<\/td>\n<\/tr>\n | \n| 1<\/td>\n | 1<\/td>\n | 0x43<\/td>\n | Message Type ‘C’<\/td>\n<\/tr>\n | \n| 2-5<\/td>\n | 4<\/td>\n | \n 01 74 a8 ca<\/span><\/p>\n<\/td>\n | Nanoseconds portion of timestamp<\/td>\n<\/tr>\n | \n| 6-13<\/td>\n | 8<\/td>\n | \n \u00a0<\/span><\/p>\n00 00 00 00 00 00 31 9b<\/span><\/p>\n<\/td>\n | Order reference number<\/td>\n<\/tr>\n | \n| 14-17<\/td>\n | 4<\/td>\n | \u00a000 00 00 64 (decimal: 100)<\/td>\n | Number of shares executed.<\/td>\n<\/tr>\n | \n| \u00a018-25<\/td>\n | 8<\/td>\n | \n 00 00 00 00 00 00 03 b0<\/span><\/p>\n<\/td>\n | \u00a0NASDAQ generated day-unique match number.<\/td>\n<\/tr>\n | \n| 26<\/td>\n | 1<\/td>\n | \n 4e<\/span><\/p>\n<\/td>\n | Printable<\/p>\n\n- ‘Y’ – (0x59)<\/li>\n
- ‘N’ – (0x4e)<\/li>\n<\/ul>\n<\/td>\n<\/tr>\n
\n| 27-30<\/td>\n | 4<\/td>\n | \n 00 02 9c 5c<\/span><\/p>\n<\/td>\n | Execution Price:\u00a017.1100, or $17.11<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n I think that I have enough information to get started with the FPGA portion of this. \u00a0So I will skip analyzing the Order Replace Message for now. \u00a0So….<\/p>\n We have analyzed the following message types:<\/p>\n \n- Timestamp Message<\/strong><\/li>\n
- System Event Message<\/strong><\/li>\n
- Stock Directory Message<\/strong><\/li>\n
- Stock Trading Action\u00a0Message<\/strong><\/li>\n
- Add Order – No MPID Attribution (well, kind of)<\/strong><\/li>\n
- Add Order with MPID Attribution<\/strong><\/li>\n
- Order Delete Message<\/strong><\/li>\n
- Order Cancel\u00a0Message<\/strong><\/li>\n
- Order Executed\u00a0Message<\/strong><\/li>\n
- Order Executed\u00a0with Price Message<\/strong><\/li>\n<\/ul>\n
What is missing? I am looking at the ITCH 4.1 specification and I see the following message types:<\/p>\n \n- Order Replace<\/li>\n
- Trade Message (Non-Cross)<\/li>\n
- Cross Trade Message<\/li>\n
- Broken Trade \/ Order Execution Message<\/li>\n
- Net Order Imbalance Indicator (NOII) Message<\/li>\n
- Retail Price Improvement Indicator (RPII)<\/li>\n<\/ul>\n
So I can go ahead and analyze the rest of the messages, but I want to get to some coding. \u00a0Coding as in drawing some LabVIEW program (no, not writing, but drawing). \u00a0Anyway, I will take a look at how to write (aka draw) some LabVIEW for FPGA code that can handle the parsing and interpreting of the necessary information to react or trade to a Trump Event. \u00a0Stay tuned.<\/p>\n","protected":false},"excerpt":{"rendered":" So I went to NASDAQs ftp site and downloaded the entire ITCH feed for November\u00a09th, 2013. \u00a0The 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<\/a><\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"_coblocks_attr":"","_coblocks_dimensions":"","_coblocks_responsive_height":"","_coblocks_accordion_ie_support":"","footnotes":""},"categories":[4,5],"tags":[],"class_list":["post-60","post","type-post","status-publish","format-standard","hentry","category-hft","category-market-data","masonry-post","generate-columns","tablet-grid-50","mobile-grid-100","grid-parent","grid-50"],"_links":{"self":[{"href":"https:\/\/fpganow.com\/index.php\/wp-json\/wp\/v2\/posts\/60","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/fpganow.com\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/fpganow.com\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/fpganow.com\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/fpganow.com\/index.php\/wp-json\/wp\/v2\/comments?post=60"}],"version-history":[{"count":16,"href":"https:\/\/fpganow.com\/index.php\/wp-json\/wp\/v2\/posts\/60\/revisions"}],"predecessor-version":[{"id":122,"href":"https:\/\/fpganow.com\/index.php\/wp-json\/wp\/v2\/posts\/60\/revisions\/122"}],"wp:attachment":[{"href":"https:\/\/fpganow.com\/index.php\/wp-json\/wp\/v2\/media?parent=60"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/fpganow.com\/index.php\/wp-json\/wp\/v2\/categories?post=60"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/fpganow.com\/index.php\/wp-json\/wp\/v2\/tags?post=60"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}} | | | | | | | | | | | | | | | | |