Nasdaq TotalView-ITCH

kind = "nasdaq_itch" reads TotalView-ITCH 5.0 market data over MoldUDP64 and enters orders over OUCH 5.0 to fastmm-sim-itch (configs/nasdaq-itch-sim.toml).

Markets	Nasdaq-listed stocks
Market data	ITCH 5.0 over MoldUDP64, lines A and B, multicast or unicast; initial book from GLIMPSE 5.0
Order entry	OUCH 5.0 over SoupBinTCP to fastmm-sim-itch, or none
Keys	none; OUCH logs in with ouch_username and ouch_password
Reference data	tick and lot from [[instruments]]
Example config	configs/nasdaq-itch-sim.toml

There is no REST connection. The connector declares that it needs no credentials, so fastmm-live never asks for api_key or api_secret. Setup: Receive a multicast feed. Protocol details: Nasdaq codecs.

Pipeline

Stage	What it does
receiver, rx_backend	reads lines A and B, keeps the first copy of each packet, reorders, re-requests gaps
recovery buffer	holds messages while a GLIMPSE snapshot loads
ITCH to L2 bridge	one L3 book per instrument
market-data ring	BookSnapshot, BookDelta, Trade

rx_backend picks the datagram source for both lines: the kernel socket or AF_XDP.

Startup and recovery

1. connect() joins both lines and buffers up to recovery_buffer_packets datagrams while it logs in to GLIMPSE. Once the Stock Directory has named every subscribed stock's locate, only those stocks' messages and R and S are kept. The gaps the rest of the market leaves in the sequence numbers are not taken for lost messages.
2. The snapshot's Stock Directory, Trading Action and Add Order messages build the L3 books. End of Snapshot gives the sequence number to continue from.
3. The buffered messages from that number on are applied. When the buffer starts after it, the receiver moves back and re-requests the missing messages; without rerequest another snapshot is taken.
4. Each book emits a BookSnapshotMsg with the top depth levels per side, and the venue a ConnectionStateMsg{Live}.

The same procedure runs again after a ConnectionStateMsg{Resyncing} that clears the engine's books:

trigger	why
a gap the receiver gives up: no rerequest, or max_request_attempts unanswered requests	the book misses messages
any L3 book error, such as an unknown or duplicate order reference	later messages cannot repair it
the recovery buffer filling during a snapshot	the snapshot is taken again

A book whose capacity (max_orders, max_overflow_levels) refuses an order is not resynchronised, because a new snapshot would refuse it again. That book alone leaves service with a Resyncing for its instrument (reason_code 1), which clears it in the engine. Its messages are skipped and the venue logs an error. The other books stay live, and the full one comes back with the next resync.

event	result
the buffer fills during two snapshots in a row	the feed stops: the venue's kill switch trips with KillReason::FeedLost, feed state lost
GLIMPSE fails or closes before End of Snapshot	retried after 1 s
no glimpse_url	the books start empty at sequence 1; a gap given up stops the feed the same way

Events

Each datagram yields at most one BookDeltaMsg per instrument, with absolute quantities of the top depth levels that changed; 0 deletes. Each printable execution yields a TradeMsg: E, C with Printable Y, P, Q. A datagram's trades come before its deltas, which already show what they took. The engine's queue estimate counts each trade once in that order.

field	value
t0_cycles (T0)	the rdtscp of the receive batch that carried the datagram, also for messages delivered later from the reorder buffer
recv_ts	the kernel receive time; the NIC time with hw_clock = "phc_synced"; the T0 wall clock on af_xdp
venue_seq	the MoldUDP64 sequence number of the last message applied
T1	taken after decoding and the L3 update

Orders

order_entry	orders
none	refused at once: OrderRejectMsg with RejectReason::VenueReject, text order_entry = none
sim_ouch	OUCH 5.0 over SoupBinTCP to ouch_url: Enter, Replace, Cancel; Accepted, Replaced, Canceled, Executed and Rejected become order events

With sim_ouch, an Enter or Replace triggered by market data carries a sequence token as ClOrdID: T + 13 digits, the first ITCH message of its receive batch. The simulator times it wire to wire. The engine copies only t0_cycles into outbound messages, so the venue maps each of the last 4096 batches' t0_cycles to its sequence number.

The simulator cancels a connection's orders when it closes. A lost OUCH connection is reported as ConnectionStateMsg{Disconnected} on channel 1 and a reconciliation without open orders; the connection is retried after 1 s. cancel_all() shuts the OUCH connection down from the calling thread.

Status

The venue fills the feed block of its status entry (Status file):

• per-line packets, duplicates and A/B skew;
• gaps, recovered and given-up sequences, snapshots, requests;
• the reorder high-water mark, malformed datagrams and L3 book errors;
• the kernel-to-T0 histogram;
• on af_xdp, the XDP statistics and mode.

The connector reports no balances and no mark price.