Package com.paritytrading.juncture.cboe.fx.itch

This package contains an implementation of Cboe FX ITCH Protocol 1.65.

See: Description

Interface Summary

Interface	Description
CboeFXBook.Message	A message.
CboeFXBookListener	The interface for inbound Cboe FX Book Protocol messages.
ITCHClientListener	The interface for inbound events on the client side.
ITCHServerListener	The interface for inbound events on the server side.

Class Summary

Class	Description
CboeFXBook	Common definitions for Cboe FX Book Protocol.
CboeFXBook.CancelOrder	A Cancel Order message (2.2.3).
CboeFXBook.MarketSnapshotEntry	An entry in a Market Snapshot message (2.2.4).
CboeFXBook.ModifyOrder	A Modify Order message (2.2.2).
CboeFXBook.NewOrder	A New Order message (2.2.1).
CboeFXBook.Ticker	A Ticker message (2.2.5).
CboeFXBookFormatter	A formatter for outbound Cboe FX Book Protocol messages.
CboeFXBookParser	A parser for inbound Cboe FX Book Protocol messages.
ITCH	Common definitions for ITCH Session Management Protocol.
ITCH.ErrorNotification	An Error Notification packet (1.2.6).
ITCH.InstrumentDirectory	An Instrument Directory packet (1.2.7).
ITCH.LoginAccepted	A Login Accepted packet (1.2.1).
ITCH.LoginRejected	A Login Rejected packet (1.2.2).
ITCH.LoginRequest	A Login Request packet (1.3.1).
ITCH.MarketDataSubscribeRequest	A Market Data Subscribe Request packet (1.3.7).
ITCH.MarketDataUnsubscribeRequest	A Market Data Unsubscribe Request packet (1.3.8).
ITCH.MarketSnapshotRequest	A Market Snapshot Request packet (1.3.4).
ITCH.SequencedData	A Sequenced Data packet (1.2.3).
ITCH.TickerSubscribeRequest	A Ticker Subscribe Request packet (1.3.5).
ITCH.TickerUnsubscribeRequest	A Ticker Unsubscribe Request packet (1.3.6).
ITCHClient	An implementation of the client side of ITCH Session Management Protocol.
ITCHServer	An implementation of the server side of ITCH Session Management Protocol.
ITCHSession	The base for both the client and server side of ITCH Session Management Protocol.

Exception Summary

Exception	Description
CboeFXBookException	Indicates a protocol error while handling Cboe FX Book Protocol.
ITCHException	Indicates a protocol error while handling ITCH Session Management Protocol.

Package com.paritytrading.juncture.cboe.fx.itch Description

This package contains an implementation of Cboe FX ITCH Protocol 1.65.

The implementation is based on the Java NIO API and consists of two parts:

• an implementation of ITCH Session Management Protocol (ITCHSession)
• an implementation of Cboe FX Book Protocol (CboeFXBook)

The implementation of ITCH Session Management Protocol consists of three primary functions:

• data reception (ITCHSession.receive())
• data transmission
• session keep-alive (ITCHSession.keepAlive())

Data reception can run on one thread and data transmission and session keep-alive on another without locking. Data transmission and session keep-alive can run on different threads but require locking.

The underlying socket channels can be either blocking or non-blocking. In both cases, data transmission always blocks.