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Doc
Doc
 
 
Include
Include
 
 
.depend
.depend
 
 
.gitignore
.gitignore
 
 
BuildBook.cpp
BuildBook.cpp
 
 
BuildBookLL.cpp
BuildBookLL.cpp
 
 
BuildBookSTL.cpp
BuildBookSTL.cpp
 
 
ConProperties.cpp
ConProperties.cpp
 
 
DisplayBook.cpp
DisplayBook.cpp
 
 
Distributor.cpp
Distributor.cpp
 
 
FillMsgStructs.cpp
FillMsgStructs.cpp
 
 
LICENSE
LICENSE
 
 
Logger.cpp
Logger.cpp
 
 
Makefile
Makefile
 
 
NQTV.cpp
NQTV.cpp
 
 
NQTVDlg.cpp
NQTVDlg.cpp
 
 
NQTVOptions.cpp
NQTVOptions.cpp
 
 
NasdTestFile.cpp
NasdTestFile.cpp
 
 
OrdersMap.cpp
OrdersMap.cpp
 
 
ParseFeed.cpp
ParseFeed.cpp
 
 
PlayBack.cpp
PlayBack.cpp
 
 
QSettings.cpp
QSettings.cpp
 
 
QTSrvSettings.ini
QTSrvSettings.ini
 
 
QuantQueue.MultiQue.cpp
QuantQueue.MultiQue.cpp
 
 
QuantQueue.cpp
QuantQueue.cpp
 
 
QuantServer.kdev4
QuantServer.kdev4
 
 
README.md
README.md
 
 
ReceiveFeed.cpp
ReceiveFeed.cpp
 
 
ReceiveITCH.cpp
ReceiveITCH.cpp
 
 
SaveOrdersToDisc.cpp
SaveOrdersToDisc.cpp
 
 
SaveToDB.cpp
SaveToDB.cpp
 
 
SaveToDisk.cpp
SaveToDisk.cpp
 
 
StatsPerSec.cpp
StatsPerSec.cpp
 
 
TickDataMap.MapToDisc.cpp
TickDataMap.MapToDisc.cpp
 
 
TickDataMap.cpp
TickDataMap.cpp
 
 
TickDataMapWithMemoryMappedFile.cpp
TickDataMapWithMemoryMappedFile.cpp
 
 
Util.cpp
Util.cpp
 
 
build.sh
build.sh
 
 
main.cpp
main.cpp
 
 
~$75902809) NQTVITCHSpecification.doc
~$75902809) NQTVITCHSpecification.doc
 
 

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QuantServer: High Frequency Market Data Server

High performance multi-threaded Limit Order Book (re)constructor using raw data feed messages adhering to the Nasdaq ITCH 5.0 protocol specification. Intended for high frequency trading research such as trade cost analysis. This has not been tested in a live environment.

Build

make:

make all

clean:

make clean

Run

command line arguments can be found in main.cpp.

Sample data is publicly available through ftp://emi.nasdaq.com/ITCH/. Please be aware this is partial data sampled throughout the trading day to test parser implementation.

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High Frequency Market Data Server

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Readme

License

GPL-3.0 license
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