A paraser for the ITCH message format implemented by the NASDAQ & ASX written in Rust.

Performance:

• 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.

Performance:

• 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.