case details
case list
ITCH Market Data Protocol
Source: | Author:it-1070383 | Publish time: 2020-03-04 | 80 Views | Share:
Connecting via ITCH protocol makes it possible to get quotes directly from the exchange without losing speed and with the maximum possible frequency of data acquisition (1000 updates per second or more).

DARK POOLS QUOTES BOOK

ITCH PROTOCOL: MARKET DATA FEED IN REAL TIME

ITCH is the ultra-low latency protocol for accessing Real Time Market Data. ITCH has been developed to maximize performance and so meet the requirements of latency sensitive trading strategies. For latency arbitrage this best electronic protocol. For latency arbitrage and HFT, this is one of the fastest methods to get quotes, but at the same time the most expensive.

Connecting via ITCH protocol makes it possible to get quotes directly from the exchange without losing speed and with the maximum possible frequency of data acquisition (1000 updates per second or more).



Benefits Of Using The ITCH Protocol Trading Technology

ITCH is an outbound market data feed only. The ITCH protocol does not support order entry. Timestamps are represented as nanoseconds. Giventhe unshapednetwork traffic, isrequiring firms to have 10 Gb or 40 Gb network connection into the data centers to obtain the ITCH feed.

Truly dark liquidity can be collected off-market in dark pools using ITCH, FIX and FAST protocol based APIs. In finance, a dark pool (also black pool) is a private forum for trading securities, derivatives, and other financial instruments. Liquidity on these markets is called dark pool liquidity. The bulk of dark pool trades represent large trades by financial institutions that are offered away from public exchanges like the New York Stock Exchange and the NASDAQ, so that such trades remain confidential and outside the purview of the general investing public.

The SUNSHINE DIGITAL TECHNOLOGY company conducts a number of new developments on working with dark pool and high-speed direct connections via ITCH, FIX, FAST, BINARY and other protocols in order to generate the highly profitable algorithmic technologies in HFT trading.

WHICH ECHNANGES SUPPORT ITCH PROTOCOL ACCESS FOR HFT TRADING?

Electronic Trading communications are based on a list of well-defined protocols. Although FIX protocol has grown significant market share, the exchange specific protocols (also called "Native" interfaces) have found a strong backing with low latency traders.

Exchange Native Order Flow FIX Order Flow Market Data
B3 (STOCK EXCHANGE) (AKA BM&FBOVESPA) FIX FIX4.4 UMDF (FAST/FIX)
Bolsa Mexicana de Valores FIX 4.4 - version 2.4 INTRA / SIVA TCP
BIVA OUCH FIX 5.0 ITCH
Boston Options Exchange SAIL 4.2 HSVF
Chicago Mercantile Exchange n/a iLink Simple Binary Encoding
Montreal Exchange SAIL 4.2 HSVF
Nasdaq OUCH 4.2 Client - ITCH 5.0
NYSE UTP Direct 4.2
TSX FIX Client TSX-FIX QUANTUM FEED
Aequitas Neo FIX FIX NITCH
Cboe Europe BOE 4.2 PITCH
Eurex ETI 4.4 FIX/FAST
Euronext UTP Direct - -
Borsa Italiana IDEM Derivatives SAIL 4.2 HSVF
Liffe - - -
London Stock Exchange Millennium 5.0 sp2 Level-2 ITCH Market Data
Moscow Exchange (MICEX) MTESRL-TSMR 4.4 FIX/FAST
Moscow Exchange (RTS) Plaza2 4.4 FIX/FAST
Oslo Børs (Derivatives) SAIL 4.2 HSVF
Oslo Børs (Equities) Millennium (5.0) ITCH and FIX/FAST
London Stock Exchange UK Derivatives SAIL (Native) 4.2 HSVF
Xetra ETS 4.4 FIX/FAST
Tokyo Stock Exchange Arrowhead 4.2 FLEX
Singapore Exchange Securities Trading (SGXST) OMEX - -
Singapore Exchange Derivatives Trading (SGXDT) OMEX - -
Hong Kong Futures Exchange (HKFE) OMEX - -

ITCH is the premium ultra-low latency protocol for accessing Market Information, which is delivered via a multicast connection directly from the Trade platform. ITCH has been developed to maximise performance and so meet the requirements of latency sensitive traders.

Features and Benefits The ITCH protocol provides. The ITCH protocol provides:

  •  Ultra-low latency market information access up to 3 times faster;
  •  Improved latency stability (reduced jitter);
  •  Control of the Socket;
  •  Multicast stream of order book changes;
  •  Full order detail, meaning every quote and every order in every lit orderbook;
  •  Internationally recognised and standardised protocol;
  •  Time-stamping from Trade to the nano-second ;