zx2229/itch5parser

NASDAQ TotalView-ITCH 5.0 parsers written in Go and C

NASDAQ TotalView-ITCH 5.0 parsers written in Go and C

Here are 2 parsers of NASDAQ TotalView-ITCH 5.0 outbound data feeds, written C and Go, respectively. The specification for NASDAQ TotalView-ITCH 5.0 can be found at https://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTVITCHspecification.pdf.

All integer fields in ITCH data feeds are big-endian (network byte order) binary encoded numbers. Unless otherwise noted, they are unsigned. In the Go implementation, we use the encoding/binary package of the Go Standard Library to convert big-endian integers to little-endian.

Notes on the C Implementation

In the C implementation, we use the bswap macros to do the conversion. The bswap macros are part of GPU extensions, so they are readily available on Linux systems. On systems where the bswap macros are unavailable, such as macOS, we define our own.

In C, we use the more portable integer types uint16_t, uint32_t, & uint64_t. But alas, this introduces a minor compatibility issue! On macOS, v10.13 High Sierra at least, uint64_t is typedef'ed to unsigned long long; so we would use the format specifier %llu for uint64_t, which works without a hitch on my 2017 MacBook Pro. However, when I compiled the same code on a host running 64-bit Ubuntu 18.04, I got tons of warnings like the following:

parse_itch5.c:638:33: warning: format ‘%llu’ expects argument of type ‘long long unsigned int’, but argument 7 has type ‘uint64_t {aka long unsigned int}’ [-Wformat=]
             "%c,%u,%u,%llu.%09llu,%s,%c\n",
                            ~~~~~^
                            %09lu
parse_itch5.c:640:35:
             timestamp/1000000000, timestamp%1000000000,
                                   ~~~~~~~~~~~~~~~~~~~~

Apparently, uint64_t is unsigned long on 64-bit Ubuntu 18.04 (likely on other 64-bit Linux systems as well), and it expects the format specifier %lu!

But those warnings are harmless, we can safely suppress them with the compiler flag -Wno-format.

Compiling the codes

You can build the Go parser with:

go build parseITCH5.go

To build the C parser on macOS:

clang -O2 parse_itch5.c -o parse_itch5

To build the C parser on Linux:

gcc -O2 -Wall -Wno-format parse_itch5.c -o parse_itch5

Usage

Running the executable without any argument will show you the usage:

$ ./parse_itch5
Usage: ./parse_itch5 input_file_path output_folder_path [msg_types]

If msg_types is not provided, output will be generated for all types

For example, to parse all messages in the daily feed S051018-v50.txt, and saved the parsed CSV files in folder output:

./parse_itch5 /path/to/S051018-v50.txt output

If you only want to parse messages of type R and A:

./parse_itch5 /path/to/S051018-v50.txt output RA

Performance

On my 2017 MacBook Pro, which has a 2.9 GHz Intel Kaby Lake 4-core CPU (Core-i7-7820HQ), it took about 120 seconds to process the 6GB daily feed S051018-v50.txt using the C parser; while it took a whooping 2200 seconds using the Go parser!

The algorithms of the 2 parsers are largely identical. Needless to say, the performance of the Go parser is very disappointing.