ITCH Market Data Specification
for Equities
Version 1.7
Updated 17 February 2023

Table of ContentsIntroduction ..................................................................................................................................................... 3
Overview ......................................................................................................................................................... 3
Data Types ....................................................................................................................................................... 3
Outbound Sequenced Messages ...................................................................................................................... 3
Timestamp – Seconds Message .................................................................................................................. 3
System Event Message ............................................................................................................................... 3
Price Tick Size Message ............................................................................................................................. 4
Orderbook Directory Message ................................................................................................................... 4
Trading State Message ............................................................................................................................... 5
Short Selling Price Restriction State Message ........................................................................................... 5
Order Added Messages ............................................................................................................................... 6
Order Added Message – No Attributes ................................................................................................. 6
Order Added with Attributes Message .................................................................................................. 7
Order Executed Message ............................................................................................................................ 7
Order Deleted Message .............................................................................................................................. 7
Order Replaced Message ............................................................................................................................ 8
Revision History .............................................................................................................................................. 9

ITCH Market Data Specification for Equities

2023-02-17

Introduction

1.

This document explains access to the equities market data services of Japannext PTS via the ITCH protocol.
It describes the service's configuration and specifies the application messages. For further information andinquiries regarding market data services or for questions concerning connectivity please contact JapannextPTS Technical Support via email to: ito@japannext.co.jp.

Overview

2.

The message protocol of ITCH is widely used and considered an industry standard. It provides tick-by-tick
details for all displayable orders in the Japannext PTS execution system.
Japannext PTS offers two options for the transport layer for ITCH messages:

3.

•

The point-to-point protocol of SoupBinTCP.

•The one-to-many protocol of MoldUDP64.

Data Types

Integer fields are unsigned big-endian (network byte order) binary encoded numbers.
Alpha fields are left-justified and padded on the right with spaces.
Price fields are 4 byte Integer fields. When converted to fixed point number format they have 9 whole
number digits and 1 decimal place. The maximum representable value is 214,748,364.6 (7FFFFFFE hex).
Quantity fields are 4 byte Integer fields with a maximum representable value of 2,147,483,647 (7FFFFFFFhex).

4.

Outbound Sequenced Messages

Outbound messages are generated by the ITCH host and received by the client's application.

4.1 Timestamp – Seconds Message
The timestamp is separated into two parts to improve bandwidth efficiency: the 'seconds' part comes as astandalone Timestamp – Seconds Message and reflects the number of seconds elapsed since midnight of the daythat the trading session started. The 'nanoseconds' part comes as a field within individual messages as thenumber of nanoseconds since the most recent Timestamp – Seconds Message.
A Timestamp – Seconds Message will be sent for every second in which there is at least one other message typesent.
NameOffset

LengthType

Comments

Message Type

01

Alpha

Value is T = Timestamp – Seconds Message.

Timestamp –Seconds

14Integer

Number of seconds since midnight of the day that the trading session started.

4.2 System Event Message
System Event Messages signal data feed, system and market events.
Name
Message TypeOffset

Length01TypeAlpha

Comments
Value is S = System Event Message.

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ITCH Market Data Specification for Equities
Name

Type

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OffsetLengthComments

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Group54Alpha

Orderbook group identifier.
Blank if system wide event.
Values:DAY = Daytime market
NGHT = Nighttime market
DAYX = X-Market
DAYU = U-Market

System Event

91AlphaRefer to the System Events table below.

Table 1: System EventsValue

Description

O

Start of Messages – Always the first message sent in any trading day excepting
Timestamp – Seconds Messages.

S

Start of System Hours – Indicates the market is open and ready to start acceptingorders.

Q

Start of Market Hours – Start of trading session.

M

End of Market Hours – End of trading session.

E

End of System Hours – Indicates the market is closed and will not accept any neworders.

C

End of Messages – Always the last message sent in any trading day.

4.3 Price Tick Size Message
Price Tick Size Messages define a set of price tick size tables. Price Tick Size Messages are sent before Orderbook

Directory Messages.
NameOffset

LengthType

Comments

Message Type

01AlphaValue is L = Price Tick Size Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Price Tick Size
Table Id

54Integer

Price tick size table identifier.

Price Tick Size

94Integer

Price tick size.

Price Start

134Integer

Start of price range for this price tick size.

4.4 Orderbook Directory Message
Orderbook Directory Messages provide information about orderbooks available in the Japannext PTS execution

system.
Orderbook Directory Messages are sent at the start of each trading day.

Initial reference prices are provided via Order Added Messages sent after the Orderbook Directory Messages.
Name
Message Type

OffsetLength01

TypeAlphaComments
Value is R = Orderbook Directory Message.

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ITCH Market Data Specification for Equities
Name

OffsetLengthTimestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Orderbook Id

54AlphaQuick code.

Orderbook Code912AlphaInternational Securities Identification Number (ISIN).

Group

214

Alpha

Orderbook group identifier.
Values:DAY = Daytime market
NGHT = Nighttime market
DAYX = X-Market
DAYU = U-Market

Round Lot Size

254Integer

Number of shares that represent a round lot.

Price Tick Size
Table Id

29

4IntegerPrice tick size table identifier.

Price Decimals

33

4Integer

Number of decimal places in price fields.
Value is 1.

Upper Price Limit 37

4Integer

Maximum tradable price.

Lower PriceLimit4Integer

Minimum tradable price.

41Type2023-02-17

Comments

4.5 Trading State MessageA Trading State Message indicates the current trading state of an orderbook.
Prior to the start of system hours, Japannext PTS initiates an orderbook trading state spin. In this spin,
Trading State Messages are sent for all orderbooks which are eligible for trading at the start of system hours. If
an orderbook is absent from the orderbook trading state spin, clients should assume that the orderbook issuspended at the start of system hours.
After the start of system hours, Trading State Messages are sent to relay changes in the trading state forindividual orderbooks.
NameOffsetLengthType

CommentsMessage Type

01

Alpha

Value is H = Trading State Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Orderbook Id

54AlphaQuick code.

Group94Alpha

Orderbook group identifier.
Values:DAY = Daytime market
NGHT = Nighttime market
DAYX = X-Market
DAYU = U-Market

Trading State

131

Alpha

Current trading state.
Values:T = Trading
V = Suspended

4.6 Short Selling Price Restriction State Message
A Short Selling Price Restriction State Message indicates the current short selling price restriction state of anorderbook.
5ITCH Market Data Specification for Equities

2023-02-17

Prior to the start of system hours, Japannext PTS initiates a short selling price restriction state spin. In thisspin, Short Selling Price Restriction State Messages are sent for all orderbooks which have short selling pricerestriction in effect at the start of system hours. If an orderbook is absent from the short selling pricerestriction state spin, clients should assume that the orderbook has no short selling price restriction at thestart of system hours.
After the start of system hours, Short Selling Price Restriction State Messages are sent to relay changes in theshort selling price restriction state for individual orderbooks.
NameOffset

LengthTypeCommentsMessage Type

01AlphaValue is Y = Short Selling Price Restriction State Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Orderbook Id

54AlphaQuick code.

Group94Alpha

Orderbook group identifier.
Values:DAY = Daytime market
NGHT = Nighttime market
DAYX = X-Market
DAYU = U-Market

Short SellingState131Alpha

Current short selling price restriction state.
Values:0 = No price restriction
1 = Price restriction in effect

4.7 Order Added Messages
An Order Added Message or an Order Added with Attributes Message indicates that a new order has been accepted by
the Japannext PTS execution system and was added to the displayable book. These messages include an
Order Number which is unique per day per orderbook group.

4.7.1 Order Added Message – No Attributes
An Order Added Message will be generated for normal orders accepted by the system.
Reference prices are provided via Order Added Messages with Order Number value of zero. Initial reference
prices are sent after the Orderbook Directory Messages. A manual reference price update will generate anadditional Order Added Message.
NameOffset

LengthType

CommentsMessage Type

01AlphaValue is A = Order Added Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Order Number

58Integer

Reference number of the accepted order.
Zero indicates a reference price message.

Buy/SellIndicator

131Alpha

Side of the order.
Values:B = Buy
S = SellIgnore if reference price message.

Quantity

144Integer

Total number of shares added to the book.
Ignore if reference price message.

Orderbook Id

184Alpha

Quick code.

6

ITCH Market Data Specification for Equities
Name

Type

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OffsetLengthComments

Group

224

Alpha

Orderbook group identifier.
Values:DAY = Daytime market
NGHT = Nighttime market
DAYX = X-Market
DAYU = U-Market

Price

264Integer

Price of the order.
For a reference price message, a value of 214,748,364.7 (7FFFFFFF hex)
denotes no reference price available.

4.7.2 Order Added with Attributes Message
An Order Added with Attributes Message will be generated for orders with market specific attributes accepted bythe system.
NameOffset

LengthType

CommentsMessage Type

01AlphaValue is F = Order Added with Attributes Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Order Number

58Integer

Reference number of the accepted order.

Buy/SellIndicator

131

Alpha

Side of the order.
Values:B = Buy
S = SellQuantity

144Integer

Total number of shares added to the book.

Orderbook Id

184Alpha

Quick code.

Group

224Alpha

Orderbook group identifier.
Values:DAY = Daytime market
NGHT = Nighttime market
DAYX = X-Market
DAYU = U-Market

Price

26

4IntegerPrice of the order.

Attribution

30

4AlphaReserved.
Always blank.

Order Type34

1AlphaType of the order.
Values:Q = DLP order

4.8 Order Executed Message
An Order Executed Message is sent whenever an order in the book is executed in whole or part. This message
includes a Match Number which is unique per day per orderbook group.
It is possible to receive several Order Executed Messages for the same Order Number if that order is executedin multiple parts. Order Executed Messages on the same order are cumulative.
The execution price may be derived from the passive order price.
Name
Message TypeOffset

Length01TypeAlpha

Comments
Value is E = Order Executed Message.

7

ITCH Market Data Specification for Equities
Name

Type

2023-02-17

OffsetLengthComments

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Order Number

58Integer

Reference number of the executed order.

ExecutedQuantity

134Integer

Number of shares executed.

Match Number

178IntegerReference number of the match.

4.9 Order Deleted Message
An Order Deleted Message is sent whenever an order in the book has been canceled. All remaining shares areno longer accessible so the order must be removed from the book.
NameOffset

LengthType

Comments

Message Type

01AlphaValue is D = Order Deleted Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Order Number

58Integer

Reference number of the canceled order.

4.10 Order Replaced Message
An Order Replaced Message is sent whenever an order in the book has been replaced. The new order details
are provided for the replacement, along with a New Order Number to be used henceforth.
NameOffsetLength

TypeCommentsMessage Type

01AlphaValue is U = Order Replaced Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Original Order
Number

58Integer

Reference number of the original order.

New Order
Number138Integer

Reference number of the replaced order.

Quantity

214Integer

New total number of shares displayed in the book.

Price254Integer

New price of the order.

8ITCH Market Data Specification for Equities

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Revision History
DateVersionDescription

2012-04-24 1.0

Initial revision.

2012-07-25 1.1

Added Order Added with Attributes Message.
Corrected reverse meaning of the Trading State spin.
Clarified Timestamp – Seconds Message frequency.

2012-08-23 1.2

Removed Quantity Tick Size Table Message.
Replaced Minimum Quantity field with Round Lot Size.

2013-08-28 1.3

Added Short Selling Price Restriction Indicator message.

2014-10-03 1.4

Mentioned U-Market.

2017-10-26 1.5

Replaced Order Reference Number field name with Order Number.
Replaced Security with Orderbook in message and field names.

2017-12-18 1.6

Renamed messages: Orderbook Directory → Orderbook Directory Message, Orderbook Trading Action→ Trading State Message, Short Selling Price Restriction Indicator → Short Selling Price Restriction
State Message, Add Order Message → Order Added Message, Add Order with Attributes Message →Order Added with Attributes Message, Order Delete Message → Order Deleted Message, OrderReplace Message → Order Replaced Message.
Clarified initial and update reference price mechanisms.

2023-02-17 1.7Changed Type of Orderbook Id to Alpha9