ITCH

Originally developed by Nasdaq in 2000, the ITCH protocol has become perhaps the most widely-used market data protocol alongside FIX. It's found across both Nasdaq-owned trading venues and non-Nasdaq venues—especially those using the Nasdaq OMX Genium INET and Nasdaq Financial Framework trading platforms.

ITCH is usually recognized for its ability to provide a full order book view, also called market by order. This means that it generally includes every buy and sell order at all prices. It also generally includes all book update events—new order additions, cancellations, modifications and executions—keyed by order reference number (also called order ID). This allows a consumer of a ITCH-based feed to maintain a limit order book representation that allows them to track the queue position of every order and the breakdown of order sizes at every price level in the limit order book.

ITCH is an application-level protocol. It is usually built on top of a session-level (or sequencing) protocol called MoldUDP64, which in turn is usually built on top of UDP as its transport-level protocol.

There are several variants of ITCH and direct feeds based on ITCH will usually have some implementation differences from one to the other. This means that a parser or feed handler implemented for one ITCH feed will generally not work in its entirety for the ITCH feed of another trading venue. For example, as of 2024, the Cboe FX ITCH feed is built on top of TCP unicast rather than UDP multicast.

As such, it's more universal to refer to these feeds by the umbrella term ITCH-based feeds, even though it's usually unambiguous to refer to them as ITCH feeds.

Popular implementations of ITCH include Nasdaq TotalView-ITCH, which is used across the main Nasdaq, BX, and PSX stock markets. Other implementations of ITCH include JPX's Next J-GATE ITCH, SGX ITCH, and ASX ITCH. There are also protocols like Cboe's PITCH and LSE's MITCH protocols which, as implied by their names, are inspired by ITCH and share some similar conventions like market by order granularity.

Because of its ubiquity, it's usually implied that a feed based on ITCH provides full order book data, and many venues provide an ITCH feed as a premium feed over their standard data feed offerings. However, it's not always the case that an ITCH-based feed provides full order book data. Some ITCH-based feeds key events by price level or price ID instead of order reference number, meaning that they only provide level 2 (i.e. market by price) granularity.