FIX Preps ITCH Data Protocol Integration

FIX Trading Community is currently performing a gap analysis exercise with the help of technology and market structure consultancy Etrading Software to identify suitable areas of ITCH to add to FIX, with a view to incorporating ITCH-style semantics—the application-level coding behind the standard—into FIX by the third quarter of this year.

The gap analysis will begin by identifying areas within FIX that need to be enhanced to support new functionalities, and features of ITCH that FIX currently lacks, says Sassan Danesh, partner at Etrading Software.

“We will look at each ITCH message and create equivalent FIX messages with FIX field names. We want to be very close to the ITCH messages adopted by many marketplaces,” reflecting ITCH’s status as a standard for exchange data distribution, says Jim Northey, co-chair of FIX Trading Community’s Global Technical Committee and senior partner at LaSalle Technology Group. “There are a number of ITCH variants out there. We’re starting to inventory different versions from other markets to learn where we can improve.”

Northey says he hopes to complete the initial gap analysis within the coming weeks, after which he will make his proposals to FIX’s Global Technical Committee in April for public discussion before making the “ITCH-ified” messages available as part of an extension pack to the existing FIX standard.

“We would probably have already coded up an extension pack—we are able to move pretty quickly on that. It could be achieved by Q3. Essentially, it is adding five messages to FIX, and we’ve already added hundreds of messages to FIX over the years,” he says. “We want to stay true to the ITCH spec, not overload it, and keep it fit-for-purpose so that it meets the industry’s needs.”

A large part of these needs is the requirement for a protocol that can process large volumes of data quickly, where ITCH is strong, while also providing sufficient openness and adoption. “FIX has a much better defined set of layers—the transport, session and application layers—and that means there is a much broader and common understanding of those lower-level layers, such as what to do if a session or connection is broken. While the Nasdaq ITCH specification has well-defined layers, other venues are free to define their own layers when implementing their individual ITCH implementation, so there are fewer opportunities to create synergies,” Danesh says.

“The biggest benefit for trading venues looking at an ITCH implementation today is that they can have the benefits of ITCH semantics in a FIX framework, which means there is a much bigger community of people around the world who can use their protocol… because everyone understands FIX,” Danesh says, adding that the ecosystem of vendors and market participants already using FIX is a key advantage, but that converging the two standards will allow participants to reach a point where they can run low-latency applications alongside those built using FIX.