Struct ItchParser 

pub struct ItchParser { /* private fields */ }

Converts a stream of ITCH 5.0 messages into [OrderBookDelta] events for a single instrument.

Maintains internal order state to compute remaining sizes after partial executions and cancellations.

Implementations

impl ItchParser

pub fn new(instrument_id: InstrumentId, stock: &str, base_ns: u64) -> Self

Creates a new ItchParser for the given instrument.

Arguments

• instrument_id - The NautilusTrader instrument ID for output deltas.
• stock - The ITCH stock symbol to filter for (e.g., “AAPL”).
• base_ns - Base UNIX nanoseconds for midnight of the trading day (ITCH timestamps are nanoseconds since midnight).

pub fn parse_gzip_file(&mut self, path: &Path) -> Result<Vec<OrderBookDelta>>

Parses all ITCH messages from a gzip-compressed file and returns the filtered [OrderBookDelta] events.

Errors

Returns an error if the file cannot be opened or contains invalid data.

pub fn parse_reader<R: Read>( &mut self, reader: R, ) -> Result<Vec<OrderBookDelta>>

Parses all ITCH messages from a reader and returns filtered deltas.

Errors

Returns an error if the stream contains invalid data.

Trait Implementations

impl Debug for ItchParser

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.