nasdaq-itch

RTL design for a nasdaq compatible high frequency trading low level. Supports itch on moldudp64.

• Updated
• C

MeatPy

• Updated
• Python

Finance and Trading Protocols in Golang

• Updated
• Go

Parser for NASDAQ ITCH 5.0.

• Updated
• Python

Price response function and spread impact analysis in correlated financial markets

• Updated
• Jupyter Notebook

Market Data Feed Handler, ITCH Protocol. MoldUDP Multicast Useful for the new Mexican Stock Exchange BIVA (Bolsa Institucional de Valores) that uses X-Stream (NASDAQ).

• Updated
• Java

BIVA MarketData ITCH Feed Handler Unicast SoupBinTCP BIVA MarketData ITCH Feed Handler Multicast MoldUDP BIVA MarketData ITCH Feed Handler Recovery UDP BIVA OrderRouting OUCH OMS Unicast SoupBinTCP BMV MarketData INTRA Feed Handler Multicast UDP BMV MarketData INTRA Feed Handler Recovery TCP Useful for the new Mexican Stock Exchange BIVA (Bolsa …

• Updated
• Java

Nasdaq TotalView-ITCH 5.0 Parser

• Updated
• Python

Fake nasdaq server C library used in testing FPGA HFT project

• Updated
• C

Parser for Nasdaq TotalView-ITCH 5.0

• Updated
• Python

Market Data Feed Handler, ITCH Protocol. SoupBinTCP Unicast Useful for the new Mexican Stock Exchange BIVA (Bolsa Institucional de Valores) that uses X-Stream (NASDAQ).

• Updated
• Java

Nasdaq OUCH 5.0 C libary

• Updated
• C

An ITCH message parser implemented in Rust.

• Updated
• Rust

NASDAQ ITCH parser in Rust

• Updated
• Rust

Small C library to handle itch messages

• Updated
• C

NASDAQ ITCH 5.0 parser Limit Orderbook websocket server

• Updated
• Rust

Implements multi-protocol market data parsing supporting NASDAQ (UDP/MoldUDP64), ASX (TCP/SoupBinTCP), and B3 Brazilian Exchange (UDP/SBE) market data feeds. Integrates with Project 33's 10GBASE-R PHY for 10GbE reception and outputs parsed messages via Aurora to FPGA2 (order book engine).

• Updated
• VHDL

A modular Python framework for extracting short-term alpha signals from high-frequency market data (e.g., NASDAQ ITCH), with integrated backtesting, ML model integration, and dashboard visualization.

• Updated
• Python

Empirical detection of fill-flip sequences (hot potato effect) at the intra-tick level using NASDAQ TotalView-ITCH 5.0 order book data. Go parser + Python detection pipeline. SPY Jan 2020: 134 candidate pairs at 1ms window, median reaction 106µs, minimum 0.6µs.

• Updated
• Jupyter Notebook

Basic Python library for working with the TAQ (US Trade and Quote) dataset

• Updated
• Jupyter Notebook