开源纳斯达克的瘙痒饲料处理程序

Open source Nasdaq ITCH feed parser which parses ITCH 4.1 packets and passes them to some callback functions. Tested on Linux 3.2.0-2-amd64 (Debian wheezy). It probably is not portable to Windows or Mac, although it wouldn"t be too hard. On a 2 GHz Intel i5, it can read historical files at a rate of upwards of 30 million messages per second (~30ns / msg), half of which (15ns) can be attributed to I/O and half of which can be attributed to parsing the messages. A sample historical file can be found at ftp://emi.nasdaq.com/ITCH/ The downloads are not guaranteed to be up to date. To get the source I recommend you use git clone.

dataclient.h
defaultdataclient.h
defines.h
helpers.h
itch41reader.h
messages.h
libitch41.so
itch41