Quick definition ITCH is NASDAQ's proprietary protocol for publishing real-time order-by-order market data. It shows every order in the NASDAQ order book as it arrives, executes, or is cancelled. What it is ITCH is a binary protocol that sends order book updates to subscribers in real time. It includes: - New order arrivals (with price, size, side) - Order executions - Order cancellations - Trade reports ITCH is the NASDAQ equivalent to the NYSE's TAQ feed or the CBOE's trade feeds. Why it matters ITCH is the standard data feed for professional traders working with NASDAQ. It is essential for market makers, HFT firms, and quantitative researchers. ITCH data quality is high and well-tested. Traders rely on ITCH for risk management and order execution. ITCH versions NASDAQ has published multiple ITCH versions. ITCH 5.0 is the current standard. Each version adds new message types and fields. Practical example A market maker subscribes to ITCH. They receive messages like: - "New Order: Symbol AAPL, Price 150.00, Size 100,000, Buy" - "Order Executed: Order #12345, 50,000 shares at 150.01" - "Order Cancelled: Order #12346, 30,000 shares" The market maker reconstructs the order book from these messages and makes pricing decisions. Cost and access NASDAQ charges subscription fees for ITCH data. A professional subscription costs thousands of dollars per month. This limits access to institutional traders and large firms. Comparison to other feeds ITCH is NASDAQ's native feed. Other exchanges (NYSE, CBOE) have their own market data protocols. Traders who want access to multiple venues must subscribe to multiple feeds. See also - Market by Order - OUCH (Order Unwind and Clearing House) - Data Feed - NASDAQ Protocols
