#ItchParser
##NASDAQ ITCH is...
"...the standard NASDAQ data feed for serious traders โ displays the full order book depth for NASDAQ market participants. TotalView also disseminates the Net Order Imbalance Indicator (NOII) for the NASDAQ Opening and Closing Crosses and NASDAQ IPO/Halt Cross."####
More here: https://www.nasdaqtrader.com/Trader.aspx?id=totalview
####NASDAQ ITCH 4.1 specification: http://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/nqtv-itch-v4_1.pdf
##What does ItchParser do? Given an ITCH 4.1 binary file as input, it will parse the messages per the above specification, and return them as byte arrays, and/or translate them to human-readable format & print to stdout.
####Speed? On my 2.3Ghz Intel running Mac OSX 10.7.5 w/ 4GB RAM, ItchParser read & outputted at an average speed of: ~550k messages/second
NOTE: Parsing the byte array & printing to stdout is considerable slower.
##YAML The itch41.yaml file is used by the SnakeYaml parser to generate the data structures to translate our message byte array to a human readable format.
##Example:
####Download an Example NASDAQ-ITCH4.1 file Download: ftp://emi.nasdaq.com/ITCH/09142012.itch41.gz (Warning: ~3GB)
####Add the snakeYAML jars to your file-- I used 1.1: Download: https://code.google.com/p/snakeyaml/downloads/detail?name=SnakeYAML-all-1.11.zip&can=2&q=
####Run an example:
Create new Parse Object:
Parse parse = new Parse(filename, ParseAndPrint);
To get the next message:
myByteArray = parse.parse();
'filename' is the location if the Binary file, and 'ParseAndPrint' is a boolean value: true to parse the message to human readable format & print to stdout, false to turn off. Either way, it will return the message in a byte array.
####Also, see the example in the main method of the Parse.java class to check out a working implementation.