Class ItchCodec

java.lang.Object
com.quantfinlib.marketdata.ItchCodec
public final class ItchCodec extends Object
ITCH 5.0-style binary market-data codec: the message subset that drives a full-depth (L3) book — add, add-with-attribution, execute, cancel, delete, replace, and off-book trade — with the exact field layout and big-endian encoding of the Nasdaq TotalView-ITCH 5.0 specification. Styled after the spec for realism; not a certified implementation.

Decoding is a flyweight: ItchCodec.View.wrap(byte[], int) points at a message inside a caller-owned buffer and every getter reads the bytes directly — no parsing step, no objects, zero allocation. Symbols travel as a long of 8 ASCII bytes (packStock(java.lang.String)) so the hot path never touches String.

Prices are unsigned 32-bit integers with four implied decimals — i.e. the raw value is the price in 0.0001 ticks, which plugs straight into tick-indexed books like L3BookBuilder. Domain limit: this library's tick-indexed pipeline is signed-int throughout, so prices above 2³¹−1 ticks ($214,748.36) decode negative and are dropped by band checks downstream — symbols above that price (BRK.A territory) need a coarser tick or a scaled feed, the same constraint as HftOrderBook's ladder.

Encoders exist for simulators, replay tooling and tests; a production participant only decodes.

  • Nested Class Summary

    Nested Classes
    Modifier and Type
    Class
    Description
    static final class 
    ItchCodec.View
    Mutable flyweight over one message in a caller-owned buffer.

  • Field Summary

    Fields
    Modifier and Type
    Field
    Description
    static final byte
    ADD
     
    static final byte
    ADD_MPID
     
    static final byte
    BUY
     
    static final byte
    CANCEL
     
    static final byte
    DELETE
     
    static final byte
    EXECUTED
     
    static final byte
    REPLACE
     
    static final byte
    SELL
     
    static final byte
    TRADE
     

  • Method Summary

    Modifier and Type
    Method
    Description
    static int
    encodeAdd(byte[] buf, int off, int stockLocate, long timestampNanos, long orderRef, byte side, long shares, long packedStock, int priceTick)
    Encodes an Add Order (A); returns bytes written.
    static int
    encodeCancel(byte[] buf, int off, int stockLocate, long timestampNanos, long orderRef, long cancelledShares)
    Encodes an Order Cancel (X, partial cancel); returns bytes written.
    static int
    encodeDelete(byte[] buf, int off, int stockLocate, long timestampNanos, long orderRef)
    Encodes an Order Delete (D); returns bytes written.
    static int
    encodeExecuted(byte[] buf, int off, int stockLocate, long timestampNanos, long orderRef, long executedShares, long matchNumber)
    Encodes an Order Executed (E); returns bytes written.
    static int
    encodeReplace(byte[] buf, int off, int stockLocate, long timestampNanos, long origRef, long newRef, long shares, int priceTick)
    Encodes an Order Replace (U); returns bytes written.
    static int
    encodeTrade(byte[] buf, int off, int stockLocate, long timestampNanos, long orderRef, byte side, long shares, long packedStock, int priceTick, long matchNumber)
    Encodes a non-cross Trade (P); returns bytes written.
    static int
    length(byte type)
    Wire length of a message type; -1 for types outside the subset.
    static long
    packStock(String symbol)
    Packs up to 8 ASCII chars into a big-endian long, space-padded (ITCH alpha style).
    static String
    unpackStock(long packed)
    Inverse of packStock(java.lang.String): trailing spaces stripped.

    Methods inherited from class java.lang.Object

    clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Field Details

  • Method Details

    • length

      public static int length(byte type)
      Wire length of a message type; -1 for types outside the subset.

    • packStock

      public static long packStock(String symbol)
      Packs up to 8 ASCII chars into a big-endian long, space-padded (ITCH alpha style).

    • unpackStock

      public static String unpackStock(long packed)
      Inverse of packStock(java.lang.String): trailing spaces stripped. Test/logging use only.

    • encodeAdd

      public static int encodeAdd(byte[] buf, int off, int stockLocate, long timestampNanos, long orderRef, byte side, long shares, long packedStock, int priceTick)
      Encodes an Add Order (A); returns bytes written.

    • encodeExecuted

      public static int encodeExecuted(byte[] buf, int off, int stockLocate, long timestampNanos, long orderRef, long executedShares, long matchNumber)
      Encodes an Order Executed (E); returns bytes written.

    • encodeCancel

      public static int encodeCancel(byte[] buf, int off, int stockLocate, long timestampNanos, long orderRef, long cancelledShares)
      Encodes an Order Cancel (X, partial cancel); returns bytes written.

    • encodeDelete

      public static int encodeDelete(byte[] buf, int off, int stockLocate, long timestampNanos, long orderRef)
      Encodes an Order Delete (D); returns bytes written.

    • encodeReplace

      public static int encodeReplace(byte[] buf, int off, int stockLocate, long timestampNanos, long origRef, long newRef, long shares, int priceTick)
      Encodes an Order Replace (U); returns bytes written.

    • encodeTrade

      public static int encodeTrade(byte[] buf, int off, int stockLocate, long timestampNanos, long orderRef, byte side, long shares, long packedStock, int priceTick, long matchNumber)
      Encodes a non-cross Trade (P); returns bytes written.