Chronicle FIX ITCH

ITCH is a protocol commonly used for the dissemination of market data. ITCH is a registered service mark of the Nasdaq OMX Group, and unlike the FIX Protocol, there is no industry body that publishes an ITCH standard. Venues adopting ITCH often reuse similar patterns and identifiers, resulting in broadly similar structures, though ITCH messages and transports can vary.

The Chronicle FIX engine supports ITCH. Both session-level and sequenced ITCH messages are fully configurable, and Chronicle FIX includes a code generator to produce optimized parser and generator code capable of parsing or generating typical ITCH messages in less than a microsecond. Chronicle FIX enables FIX connections to coexist with ITCH connections within the same running engine.

Chronicle FIX supports arbitrary ITCH schemas and also implements the CBOE variant. The following modules in Chronicle FIX support ITCH variants:

• Chronicle-Fix-ITCH-Runtime: Similar to Chronicle-Fix-Runtime, this module supports arbitrary ITCH schemas.

• Chronicle-Fix-ITCH-CBOE: Contains generated code for the CBOE variant.

ITCH messages can be transmitted over TCP or UDP, and Chronicle FIX supports transmission over TCP using SoupBinTCP and over UDP using MoldUDP64. We recommend speaking with our team to explore how Chronicle FIX can best support your specific requirements. Get in touch at [email protected].