itchcpp 1.6.0

Native C++ NASDAQ TotalView-ITCH 5.0 parser, book engine, and analytics: a fast, drop-in backend for the pure-Python `itch` (itchfeed) package.

itchcpp, a fast, drop-in backend for the pure-Python itch package

itchcpp is a native (C++) NASDAQ TotalView-ITCH 5.0 parser, order-book engine, and analytics layer exposed to Python via pybind11. It is built to be a drop-in, faster backend for the pure-Python itch package (published on PyPI as itchfeed).

The pure-Python parser unpacks every message with struct.unpack and materializes a Python object in interpreter code, which is slow on full-day feeds. itchcpp does the framing and field decoding in C++ (gigabytes per second) while exposing the same public API: the same message classes (same names, same raw bytes/int attributes), the same MessageParser semantics, the same MarketMessage helpers, the same constants, and the same create_message factory.

Drop-in usage

The package layout mirrors itch.*, so migrating only changes the import root:

# pure-Python                              # native backend
from itch.parser import MessageParser      from itchcpp.parser import MessageParser
from itch.messages import create_message   from itchcpp.messages import create_message
from itch.indicators import MARKET_CATEGORY from itchcpp.indicators import MARKET_CATEGORY

from itchcpp.parser import MessageParser
from itchcpp.messages import AddOrderNoMPIAttributionMessage

parser = MessageParser()  # or MessageParser(message_type=b"AFE") to filter types
with open("01302020.NASDAQ_ITCH50", "rb") as itch_file:
    for message in parser.parse_file(itch_file):
        if isinstance(message, AddOrderNoMPIAttributionMessage):
            # Raw attributes are bytes/int, exactly like the pure-Python package.
            print(message.stock, message.decode_price("price"), message.shares)
            # decode() returns a human-readable dataclass (symbols trimmed,
            # prices scaled):
            print(message.decode())

parse_file takes an open binary file object (so gzip.open(path, "rb") works too); parse_stream(raw_bytes) parses an in-memory buffer. Both return lazy iterators, apply the message_type filter, and stop at the end-of-messages system event (S with event_code == b"C").

What is exposed

• itchcpp.messages, every message class under its exact upstream name (SystemEventMessage, StockDirectoryMessage, AddOrderNoMPIAttributionMessage, AddOrderMPIDAttribution, OrderExecutedMessage, NonCrossTradeMessage, CrossTradeMessage, NOIIMessage, MWCBDeclineLeveMessage, RetailPriceImprovementIndicator, DLCRMessage, ...); the abstract bases MarketMessage, AddOrderMessage, ModifyOrderMessage, TradeMessage (the concrete classes are registered as virtual subclasses, so isinstance works); the messages registry (dict[bytes, type]); the AllMessages constant; and the create_message(message_type, **kwargs) factory.
• MarketMessage helpers on every message: decode(), decode_price(name), to_bytes(), set_timestamp(ts1, ts2), split_timestamp(), get_attributes(call_able=False), plus the message_type, description, message_size, and price_precision metadata.
• itchcpp.parser.MessageParser, parse_file, parse_stream, parse_messages(data, callback), get_message_type(bytes), and the message_type filter.
• itchcpp.indicators, the field code lookup tables (SYSTEM_EVENT_CODES, MARKET_CATEGORY, TRADING_STATES, ISSUE_SUB_TYPE_VALUES, ...).
• Native extras (not part of the pure-Python API): itchcpp.book (BookManager, L3Book, Bbo) for single-pass order-book reconstruction, and itchcpp.analytics (Vwap).

Install

Prebuilt wheels are published to PyPI for Linux, macOS, and Windows (CPython 3.9-3.13), so most users need no compiler:

pip install itchcpp

Build from source

Building from source needs a C++20 compiler and pybind11 (pulled in automatically as a build dependency). The pyproject.toml lives at the repository root, so build from there:

pip install .

This invokes scikit-build-core, which configures the CMake project with -DITCH_BUILD_PYTHON=ON and builds the itchcpp._itchcpp extension module into the itchcpp package. To build just the extension with CMake directly:

cmake -S . -B build -DITCH_BUILD_PYTHON=ON
cmake --build build --target itchcpp_python

Relationship to the itch (itchfeed) package

itchcpp ships as a separate package and does not replace itchfeed; it exposes the same API under the itchcpp import root. There are two migration paths:

1. Switch the import root in your own code (itch -> itchcpp).

2. Wire it as an optional backend in itchfeed, so installed users get a transparent speedup with no code change:

   try:
       from itchcpp.parser import MessageParser  # fast C++ backend
       from itchcpp.messages import create_message, messages
   except ImportError:  # fall back to the pure-Python implementation
       from itch.parser import MessageParser
       from itch.messages import create_message, messages
   

The native message objects expose raw field values (bytes for character fields, int for prices and quantities) just like the pure-Python classes, so existing code that calls decode_price(...) or decode() keeps working unchanged.