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.

Project links

Data verified by PyPI on Jul 12, 2026
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Key dates

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  • Released:
Newer release available (1.6.4)

1 maintainer

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Avatar for bbalouki from gravatar.com bbalouki

Credits

Author: Bertin Balouki Simyeli

GitHub Statistics

Data verified by PyPI on Jul 12, 2026
The GitHub source repository was provided by the project maintainers and verified by PyPI at the time of upload. Stars, forks, and open issues/PRs are derived from that repository and have not been independently verified.

License

MIT License (MIT)

Requires

Python >=3.9

Tags

nasdaq itch market-data order-book hft

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1.6.4

21 files

1.6.3

21 files

This release

1.6.2 This release

21 files

1.6.1

21 files

1.6.0

21 files

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