File size: 7,396 Bytes
f86fb3b | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187 188 189 190 191 192 193 194 195 196 197 198 199 200 201 202 203 204 205 206 207 208 209 210 211 212 213 214 215 216 217 218 219 220 221 222 223 224 225 226 227 228 229 230 231 232 233 234 235 236 237 238 239 240 241 242 243 244 245 246 247 248 249 250 251 252 253 | #pragma once
#include <cstdint>
#include <span>
#include <string_view>
#include <cstring>
#include <optional>
#include <array>
namespace quant::protocol::itch50 {
// Byte swapping utilities for Big-Endian Nasdaq ITCH 5.0 wire protocol
inline uint16_t be16_to_cpu(uint16_t v) noexcept { return __builtin_bswap16(v); }
inline uint32_t be32_to_cpu(uint32_t v) noexcept { return __builtin_bswap32(v); }
inline uint64_t be64_to_cpu(uint64_t v) noexcept { return __builtin_bswap64(v); }
inline uint64_t be48_to_cpu(const uint8_t* p) noexcept {
return (static_cast<uint64_t>(p[0]) << 40) |
(static_cast<uint64_t>(p[1]) << 32) |
(static_cast<uint64_t>(p[2]) << 24) |
(static_cast<uint64_t>(p[3]) << 16) |
(static_cast<uint64_t>(p[4]) << 8) |
(static_cast<uint64_t>(p[5]));
}
inline void cpu_to_be48(uint64_t v, uint8_t* p) noexcept {
p[0] = static_cast<uint8_t>((v >> 40) & 0xFF);
p[1] = static_cast<uint8_t>((v >> 32) & 0xFF);
p[2] = static_cast<uint8_t>((v >> 24) & 0xFF);
p[3] = static_cast<uint8_t>((v >> 16) & 0xFF);
p[4] = static_cast<uint8_t>((v >> 8) & 0xFF);
p[5] = static_cast<uint8_t>(v & 0xFF);
}
#pragma pack(push, 1)
// 1. System Event Message ('S', 12 bytes)
struct SystemEventMsg {
char msg_type{'S'};
uint16_t stock_locate{0};
uint16_t tracking_num{0};
uint8_t timestamp[6]{0};
char event_code{'O'}; // 'O'=Start of Messages, 'S'=Start System, 'Q'=Start Market, 'M'=End Market, 'E'=End System, 'C'=End Messages
};
// 2. Stock Directory ('R', 39 bytes)
struct StockDirectoryMsg {
char msg_type{'R'};
uint16_t stock_locate{0};
uint16_t tracking_num{0};
uint8_t timestamp[6]{0};
char stock[8]{' '};
char market_category{'Q'};
char financial_status{'N'};
uint32_t round_lot_size{0};
char round_lots_only{'N'};
char issue_classification{'C'};
char issue_sub_type[2]{'S', 'I'};
char authenticity{'P'};
char short_sale_threshold{'N'};
char ipo_flag{'N'};
char luld_tier{'1'};
char etp_flag{'N'};
uint32_t etp_leverage{0};
char inverse_indicator{'N'};
};
// 3. Stock Trading Action ('H', 25 bytes)
struct StockTradingActionMsg {
char msg_type{'H'};
uint16_t stock_locate{0};
uint16_t tracking_num{0};
uint8_t timestamp[6]{0};
char stock[8]{' '};
char trading_state{'T'}; // 'H'=Halted, 'P'=Paused, 'T'=Trading
char reserved{' '};
char reason[4]{' ', ' ', ' ', ' '};
};
// 4. Add Order Message ('A', 36 bytes)
struct AddOrderMsg {
char msg_type{'A'};
uint16_t stock_locate{0};
uint16_t tracking_num{0};
uint8_t timestamp[6]{0};
uint64_t order_ref_num{0};
char buy_sell_indicator{'B'}; // 'B'=Buy, 'S'=Sell
uint32_t shares{0};
char stock[8]{' '};
uint32_t price{0}; // Price (4 decimal fixed point, scaled by 10,000)
};
// 5. Add Order with MPID ('F', 40 bytes)
struct AddOrderMPIDMsg {
char msg_type{'F'};
uint16_t stock_locate{0};
uint16_t tracking_num{0};
uint8_t timestamp[6]{0};
uint64_t order_ref_num{0};
char buy_sell_indicator{'B'};
uint32_t shares{0};
char stock[8]{' '};
uint32_t price{0};
char attribution[4]{' ', ' ', ' ', ' '};
};
// 6. Order Executed ('E', 31 bytes)
struct OrderExecutedMsg {
char msg_type{'E'};
uint16_t stock_locate{0};
uint16_t tracking_num{0};
uint8_t timestamp[6]{0};
uint64_t order_ref_num{0};
uint32_t executed_shares{0};
uint64_t match_number{0};
};
// 7. Order Executed with Price ('C', 36 bytes)
struct OrderExecutedWithPriceMsg {
char msg_type{'C'};
uint16_t stock_locate{0};
uint16_t tracking_num{0};
uint8_t timestamp[6]{0};
uint64_t order_ref_num{0};
uint32_t executed_shares{0};
uint64_t match_number{0};
char printable{'Y'};
uint32_t execution_price{0};
};
// 8. Order Cancel ('X', 23 bytes)
struct OrderCancelMsg {
char msg_type{'X'};
uint16_t stock_locate{0};
uint16_t tracking_num{0};
uint8_t timestamp[6]{0};
uint64_t order_ref_num{0};
uint32_t canceled_shares{0};
};
// 9. Order Delete ('D', 19 bytes)
struct OrderDeleteMsg {
char msg_type{'D'};
uint16_t stock_locate{0};
uint16_t tracking_num{0};
uint8_t timestamp[6]{0};
uint64_t order_ref_num{0};
};
// 10. Order Replace ('U', 35 bytes)
struct OrderReplaceMsg {
char msg_type{'U'};
uint16_t stock_locate{0};
uint16_t tracking_num{0};
uint8_t timestamp[6]{0};
uint64_t orig_order_ref_num{0};
uint64_t new_order_ref_num{0};
uint32_t shares{0};
uint32_t price{0};
};
// 11. Trade Message Non-Cross ('P', 44 bytes)
struct TradeMsg {
char msg_type{'P'};
uint16_t stock_locate{0};
uint16_t tracking_num{0};
uint8_t timestamp[6]{0};
uint64_t order_ref_num{0};
char buy_sell_indicator{'B'};
uint32_t shares{0};
char stock[8]{' '};
uint32_t price{0};
uint64_t match_number{0};
};
// 12. Snapshot Header for state recovery ('Z', 26 bytes)
struct SnapshotHeaderMsg {
char msg_type{'Z'};
uint16_t stock_locate{0};
uint64_t sequence_num{0};
char stock[8]{' '};
uint32_t bid_levels_count{0};
uint32_t ask_levels_count{0};
};
#pragma pack(pop)
// Decoded C++ Friendly In-Memory Structs
struct DecodedAddOrder {
uint16_t stock_locate;
uint64_t timestamp_ns;
uint64_t order_ref_num;
char side; // 'B' or 'S'
uint32_t shares;
std::string_view symbol;
double price;
};
struct DecodedOrderExecuted {
uint16_t stock_locate;
uint64_t timestamp_ns;
uint64_t order_ref_num;
uint32_t executed_shares;
uint64_t match_number;
};
struct DecodedOrderCancel {
uint16_t stock_locate;
uint64_t timestamp_ns;
uint64_t order_ref_num;
uint32_t canceled_shares;
};
struct DecodedOrderReplace {
uint16_t stock_locate;
uint64_t timestamp_ns;
uint64_t orig_order_ref_num;
uint64_t new_order_ref_num;
uint32_t shares;
double price;
};
class ITCH50Decoder {
public:
static std::string_view decode_symbol(const char stock[8]) noexcept;
static bool decode_add_order(std::span<const uint8_t> buffer, DecodedAddOrder& out) noexcept;
static bool decode_order_executed(std::span<const uint8_t> buffer, DecodedOrderExecuted& out) noexcept;
static bool decode_order_cancel(std::span<const uint8_t> buffer, DecodedOrderCancel& out) noexcept;
static bool decode_order_replace(std::span<const uint8_t> buffer, DecodedOrderReplace& out) noexcept;
// Fast message length lookup
static constexpr size_t message_length(char msg_type) noexcept {
switch (msg_type) {
case 'S': return sizeof(SystemEventMsg);
case 'R': return sizeof(StockDirectoryMsg);
case 'H': return sizeof(StockTradingActionMsg);
case 'A': return sizeof(AddOrderMsg);
case 'F': return sizeof(AddOrderMPIDMsg);
case 'E': return sizeof(OrderExecutedMsg);
case 'C': return sizeof(OrderExecutedWithPriceMsg);
case 'X': return sizeof(OrderCancelMsg);
case 'D': return sizeof(OrderDeleteMsg);
case 'U': return sizeof(OrderReplaceMsg);
case 'P': return sizeof(TradeMsg);
case 'Z': return sizeof(SnapshotHeaderMsg);
default: return 0;
}
}
};
} // namespace quant::protocol::itch50
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