A paraser for the ITCH message format implemented by the NASDAQ & ASX written in Rust.
- Uses a lock-free queue for reading and parsing ITCH messages in parallel.
- Maintains a separate order book for each stock.
- Supports adding, executing, replacing, cancelling and deleting orders.
- Builds an intraday stock directory from start-of-day directory messages.
- Logging to stdout.
- Parses ~40m messages per second on a Ryzen 5600X.
- Updates orderbooks at ~2m messages per second on a Ryzen 5600X (28/09/24).
Work in progress.