Hands-On Machine Learning for Algorithmic Trading

Nasdaq TotalView-ITCH Order Book data

While FIX has a dominant large market share, exchanges also offer native protocols. The Nasdaq offers a TotalView ITCH direct data-feed protocol that allows subscribers to track individual orders for equity instruments from placement to execution or cancellation.

As a result, it allows for the reconstruction of the order book that keeps track of the list of active-limit buy and sell orders for a specific security or financial instrument. The order book reveals the market depth throughout the day by listing the number of shares being bid or offered at each price point. It may also identify the market participant responsible for specific buy and sell orders unless it is placed anonymously. Market depth ...