ITCH_Sources

You receive an archive containing the C# source code of the S#.ITCH adapter for the LSE MITCH market-data feed. The implementation uses the message model provided by API, allowing you to inspect how the exchange feed is decoded and adapt the data-processing path to your infrastructure. The connector is also available as a separate product: ITCH.

The project contains the message adapter, native message models, binary serializers for LSE and NASDAQ, and an order-log market-depth builder. The adapter currently uses the LSE serializer; the NASDAQ format implementation is included separately in the source tree.

• Feed reception: the primary channel is received over UDP multicast, with messages processed in sequence-number order.
• Snapshot and recovery: an order-book snapshot is requested from the recovery server, while sequence gaps are retrieved from the replay server over TCP.
• Market entities: native events are mapped to StockSharp messages for instruments, security and session states, Level1 data, ticks, and the order log.
• Market depth from the order log: the builder maintains local active-order state and produces bid/ask level changes.
• Integration settings: the source exposes multicast, recovery, and replay parameters, authentication, a CSV instrument directory, the data group, and the exchange time zone.

This adapter is for receiving market data only. It does not submit, replace, or cancel trading orders.