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I am trying to parse a file which has ITCH messages in it:

http://www.nasdaqtrader.com/Trader.aspx?id=DPSpecs_USEquities#TVITCH¬ http://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/NQTV-ITCH-V4_1.pdf¬

Each price is represented as a 32bit fixed point number with 18 whole part bits and 14 decimal part bits. (6 whole number digits followed by 4 decimal digits)

e.g.

200,000.0000
110000110101000000 00000000000000

I have had a look at the struct class but this only deals with whole bytes as its for converting from binary encoded c structs.

I have had a look at the decimal.Decimal module but it seems that you can only instantiate it using a string and this assumes that you already have the number in string format.

Thomas Wouters
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Jonathan Evans
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1 Answers1

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Python's struct.unpack() is exactly what you need. You just need to formulate the appropriate format string so the module can know what fields are where and what binary format they have, and you should quickly be able to decode your data.

You explained things in terms of bits, but that's not how ITCH really works. The fixed-decimal fields really are N bytes long, with some decimal shift implied. So you can read a price field as an integer and then divide it by 1e4 to get the float value.

John Zwinck
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  • Struct.unpack won't work - since the OP have the number in a binary base represented in ASCII. – jsbueno Mar 29 '12 at 23:21
  • I think you do not understand what format he is trying to parse. Do you understand that ITCH 4.1 as linked in the OP is a binary protocol, and does not use ASCII for numerics? – John Zwinck Mar 29 '12 at 23:38
  • Cheers John, Just plucked out a few add messages and checked them against past prices and it seems you are right. Feel somewhat silly now as its so obvious that its just div 1000. – Jonathan Evans Mar 30 '12 at 00:06
  • I'd up vote this but supposedly I don't have enough rep yet :/. – Jonathan Evans Mar 30 '12 at 00:07