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Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Implement the FEATURES.md Phase 1 transport layer so the library can consume ITCH as it is actually delivered, not only pre-stripped message streams: - MoldUdp64Decoder: UDP multicast framing (session, sequence, message blocks). - SoupBinDecoder: TCP framing for Glimpse/recovery, buffering partial segments. - PcapReader: in-house .pcap/.pcapng reader (no libpcap) walking Ethernet/IPv4/IPv6/UDP into the MoldUDP64 decoder, with a UDP port filter. - SequenceTracker + RetransmitRequester: per-session gap detection and a caller-driven recovery hook. Adds round-trip transport tests, a transport fuzz target, a pcap replay example, README/CHANGELOG entries, and wires the new fuzzer into CI. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Implement the FEATURES.md Phase 2 full-market book engine alongside the existing single-symbol LimitOrderBook (which is retained unchanged): - L3Book: allocation-light order-level book. Orders live in a reusable object pool linked into intrusive FIFO queues; price levels are flat sorted ladders; order lookup uses a flat open-addressed map (OrderIndex), removing the per-order shared_ptr / list node / map node of the original design. - BookManager: maintains a book per symbol from one pass over the feed, routed by stock locate code in O(1), with an optional symbol-universe filter. - BBO change events, L2 aggregated and L3 order-level depth snapshots, and trade-tape extraction (tape.hpp) honouring the printable flag. - Zero-copy overlay parse API (overlay.hpp): lazy typed views with on-access endianness conversion; ~1.8x faster than eager when touching a few fields. - Shared wire-layout metadata (detail/wire.hpp) now backs both the parser dispatch table and the overlay. Adds book/overlay tests, a book benchmark with published numbers, a book-engine example, and README/CHANGELOG entries. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Implement the FEATURES.md Phase 3 header-only itch::analytics layer, driven off the Phase 2 trade tape and book: - bars.hpp: OHLCV BarBuilder over time/tick/volume clock policies. - vwap.hpp: running and interval VWAP and TWAP. - microstructure.hpp: spread, mid, depth-at-level, queue imbalance, and Cont-Kukanov-Stoikov order-flow imbalance. - imbalance.hpp: ImbalanceInfo surfacing NOII (I) data with strong price types. - auctions.hpp: AuctionTracker reconstructing opening/closing/halt/IPO crosses by pairing each Cross Trade (Q) with the latest NOII context. Adds deterministic analytics tests, a VWAP example, and README/CHANGELOG entries. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Implement the FEATURES.md Phase 4 layer that meets quants in their own tools: - io/sink.hpp + io/csv_sink.hpp: a generic MessageSink and a dependency-free CsvSink flattening every message type into a normalized wide CSV table. - io/arrow_export.hpp + io/arrow_export.cpp: Apache Arrow / Parquet columnar export, gated behind the optional ITCH_WITH_ARROW CMake option (arrow vcpkg feature); off by default so the core stays dependency-free. - tools/itch_tool: the itch-tool CLI (stats/inspect/filter/convert), gated by ITCH_BUILD_TOOLS, auto-detecting raw ITCH vs .pcap/.pcapng input. - python/: pybind11 bindings (ITCH_BUILD_PYTHON) mirroring the pure-Python `itch` package API (MessageParser, typed messages, decode_price) as a faster drop-in backend, plus the book engine and VWAP; with pyproject.toml and pytest tests. - Per-message Doxygen documentation for every message struct and field in messages.hpp, sourced from the itch package's message semantics. Adds CSV unit test, vcpkg python/arrow features, and CI jobs for tools, examples, and the Python bindings. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Implement the FEATURES.md Phase 5 layer, closing the roadmap: - replay.hpp/replay.cpp: ReplayEngine drives a callback paced by message timestamps at original or scaled wall-clock speed for backtesting. - encoder.hpp/encoder.cpp: encode_message/encode_frame serialize any Message back to valid wire bytes (inverse of the parser), guaranteeing parse(encode(msg)) == msg; also backs the Python to_bytes(). - venue.hpp: a VenuePolicy concept and the concrete Nasdaq50 policy as the extension seam for additional venues/versions (BX/PSX, ITCH 4.1), without new decoders (extension points only). - Packaging: conanfile.py, CONTRIBUTING.md, and a documented versioning/ABI compatibility policy. Adds encoder round-trip, replay pacing, and venue-policy tests, plus README and CHANGELOG entries. Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
Co-Authored-By: Claude Sonnet 5 <noreply@anthropic.com>
juniorep
approved these changes
Jul 10, 2026
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