NASDAQ Protol Parsers

Jun 28, 2011 at 11:05 AM

Does anyone have time to develop a parser for the NASDAQ ITCH protocol and the NASDAQ ITTO protocol? Public references to each protocol can be found at: nasdaqtrader.com/content/technicalsupport/.../NQTV-ITCH-V4_1.pdf  and www.nasdaqtrader.com/content/technicalsupport/.../optionsITTO.pdf. Thank you.

Jun 29, 2011 at 4:17 PM

Hi Steven,

Unfortunately, the link you provided is abbreviated and not valid.  Did you mean to point us to this file? http://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTV-ITCH-V4_1.pdf

You might want to check out our parser tutorial here: http://nmparsers.codeplex.com/releases/view/21192#DownloadId=53465.  If you have some time, you may be able to get a base of an ITCH parser together yourself.

Thanks,
Michael

Jul 8, 2011 at 10:36 PM

Hi Steven,

Do you have a sample .cap file with this kind of messages?

Jul 9, 2011 at 12:11 AM

sramos:

No. I do have a sample text ITCH file.