/* packet-nasdaq-itch.c * Routines for NASDAQ TotalView-ITCH version 2.00/3.00 (with Chi-X extension) Protocol dissection * Copyright 2007,2008 Didier Gautheron * * Wireshark - Network traffic analyzer * By Gerald Combs * Copyright 1998 Gerald Combs * * This program is free software; you can redistribute it and/or * modify it under the terms of the GNU General Public License * as published by the Free Software Foundation; either version 2 * of the License, or (at your option) any later version. * * This program is distributed in the hope that it will be useful, * but WITHOUT ANY WARRANTY; without even the implied warranty of * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the * GNU General Public License for more details. * * You should have received a copy of the GNU General Public License * along with this program; if not, write to the Free Software * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301 USA. * * Documentation: * http://www.nasdaqtrader.com/Trader.aspx?id=DPSpecs * ex: * http://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/tv-itch2a.pdf * http://www.nasdaqtrader.com/content/technicalsupport/specifications/dataproducts/tvitch-v3.pdf * * Chi-X * http://www.chi-x.com/docs/Chi-X%20CHIXMD.pdf */ #include "config.h" #include #include #include #include void proto_register_nasdaq_itch(void); void proto_reg_handoff_nasdaq_itch(void); static dissector_handle_t nasdaq_itch_handle; /* Chi-X version */ static gboolean nasdaq_itch_chi_x = TRUE; static const value_string message_types_val[] = { { 'A', "Add Order " }, { 'X', "Order Cancel " }, { 'M', "Milliseconds " }, { 'E', "Order Executed " }, { 'T', "Second " }, { 'P', "Trade Message Identifier " }, { 'C', "Order Executed With Price " }, { 'D', "Order Delete " }, { 'Q', "Cross Trade " }, { 'S', "System Event " }, { 'R' , "Stock Directory " }, { 'H', "Stock Trading Action " }, { 'F', "Add Order (MPID) " }, { 'I', "Net Order Imbalance Indicator (NOII) " }, { 'B', "Broken Trade " }, /* Chi-X msg with big size,price */ { 'a', "Add Order (big)" }, { 'p', "Trade Message Identifier (big)" }, { 'e', "Order Executed (big)" }, { 'x', "Order Cancel (big)" }, { 0, NULL } }; static const char chix_msg[] = "apex"; static const value_string system_event_val[] = { { 'O', "Start of Messages" }, { 'S', "Start of System hours" }, { 'Q', "Start of Market hours" }, { 'M', "End of Market hours" }, { 'E', "End of System hours" }, { 'C', "End of Messages" }, { 0, NULL } }; static const value_string market_category_val[] = { { 'T', "CQS (NYSE, Amex or regional exchange)" }, { 'Q', "NASDAQ Global Select MarketSM" }, { 'G', "NASDAQ Global MarketSM" }, { 'S', "NASDAQ Capital Market" }, { ' ', "Not available" }, { 0, NULL } }; static const value_string financial_status_val[] = { { 'D', "Deficient" }, { 'E', "Delinquent" }, { 'Q', "Bankrupt" }, { 'S', "Suspended" }, { 'G', "Deficient and Bankrupt" }, { 'H', "Deficient and Delinquent" }, { 'J', "Delinquent and Bankrupt" }, { 'K', "Deficient, Delinquent and Bankrupt" }, { ' ', "Company is in compliance" }, { 0, NULL } }; static const value_string round_lots_only_val[] = { { 'Y', "only round lots are accepted in this stock" }, { 'N', "odd/mixed lots are allowed" }, { 0, NULL } }; /* Initialize the protocol and registered fields */ static int proto_nasdaq_itch = -1; /* Initialize the subtree pointers */ static gint ett_nasdaq_itch = -1; static int hf_nasdaq_itch_version = -1; static int hf_nasdaq_itch_message_type = -1; static int hf_nasdaq_itch_market_category = -1; static int hf_nasdaq_itch_financial_status = -1; static int hf_nasdaq_itch_stock = -1; static int hf_nasdaq_itch_round_lot_size = -1; static int hf_nasdaq_itch_round_lots_only = -1; static int hf_nasdaq_itch_system_event = -1; static int hf_nasdaq_itch_second = -1; static int hf_nasdaq_itch_millisecond = -1; static int hf_nasdaq_itch_message = -1; static int hf_nasdaq_itch_trading_state = -1; static int hf_nasdaq_itch_reserved = -1; static int hf_nasdaq_itch_reason = -1; static int hf_nasdaq_itch_order_reference = -1; static int hf_nasdaq_itch_buy_sell = -1; static int hf_nasdaq_itch_shares = -1; static int hf_nasdaq_itch_price = -1; static int hf_nasdaq_itch_attribution = -1; static int hf_nasdaq_itch_executed = -1; static int hf_nasdaq_itch_match = -1; static int hf_nasdaq_itch_printable = -1; static int hf_nasdaq_itch_execution_price = -1; static int hf_nasdaq_itch_canceled = -1; static int hf_nasdaq_itch_cross = -1; /* ---------------------- */ static int order_ref_number(tvbuff_t *tvb, packet_info *pinfo, proto_tree *nasdaq_itch_tree, int offset) { const char *str_value = tvb_get_string_enc(wmem_packet_scope(), tvb, offset, 9, ENC_ASCII); guint32 value = (guint32)strtoul(str_value, NULL, 10); proto_tree_add_uint(nasdaq_itch_tree, hf_nasdaq_itch_order_reference, tvb, offset, 9, value); col_append_fstr(pinfo->cinfo, COL_INFO, "%u ", value); return offset + 9; } /* -------------------------- */ static int time_stamp(tvbuff_t *tvb, proto_tree *nasdaq_itch_tree, int id, int offset, int size) { if (nasdaq_itch_tree) { guint32 ms, val; const char *display = ""; const char *str_value = tvb_get_string_enc(wmem_packet_scope(), tvb, offset, size, ENC_ASCII); ms = val = (guint32)strtoul(str_value, NULL, 10); switch (size) { case 3: display = wmem_strdup_printf(wmem_packet_scope(), " %03u" , val); break; case 5: ms = val *1000; /* Fall Through */ case 8: /* 0 86 400 000 */ display = wmem_strdup_printf(wmem_packet_scope(), " %u (%02u:%02u:%02u.%03u)", val, ms/3600000, (ms % 3600000)/60000, (ms % 60000)/1000, ms %1000); break; } proto_tree_add_uint_format_value(nasdaq_itch_tree, id, tvb, offset, size, val, "%s", display); } return offset + size; } /* -------------------------- */ static int number_of_shares(tvbuff_t *tvb, packet_info *pinfo, proto_tree *nasdaq_itch_tree, int id, int offset, int big) { gint size = (big) ? 10 : 6; const char *str_value = tvb_get_string_enc(wmem_packet_scope(), tvb, offset, size, ENC_ASCII); guint32 value = (guint32)strtoul(str_value, NULL, 10); proto_tree_add_uint(nasdaq_itch_tree, id, tvb, offset, size, value); col_append_fstr(pinfo->cinfo, COL_INFO, "qty %u ", value); return offset + size; } /* -------------------------- */ static int price(tvbuff_t *tvb, packet_info *pinfo, proto_tree *nasdaq_itch_tree, int id, int offset, int big) { gint size = (big) ? 19 : 10; const char *str_value = tvb_get_string_enc(wmem_packet_scope(), tvb, offset, size, ENC_ASCII); gdouble value = guint64_to_gdouble(g_ascii_strtoull(str_value, NULL, 10))/((big)?1000000.0:10000.0); proto_tree_add_double(nasdaq_itch_tree, id, tvb, offset, size, value); col_append_fstr(pinfo->cinfo, COL_INFO, "price %g ", value); return offset + size; } /* -------------------------- */ static int stock(tvbuff_t *tvb, packet_info *pinfo, proto_tree *nasdaq_itch_tree, int offset) { char *stock_p = tvb_get_string_enc(wmem_packet_scope(), tvb, offset, 6, ENC_ASCII); proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_stock, tvb, offset, 6, ENC_ASCII|ENC_NA); col_append_fstr(pinfo->cinfo, COL_INFO, "<%s> ", stock_p); return offset + 6; } /* -------------------------- */ static int order(tvbuff_t *tvb, packet_info *pinfo, proto_tree *nasdaq_itch_tree, int offset, int big) { guint8 value; offset = order_ref_number(tvb, pinfo, nasdaq_itch_tree, offset); value = tvb_get_guint8(tvb, offset); col_append_fstr(pinfo->cinfo, COL_INFO, "%c ", value); proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_buy_sell, tvb, offset, 1, ENC_ASCII|ENC_NA); offset += 1; offset = number_of_shares(tvb, pinfo, nasdaq_itch_tree, hf_nasdaq_itch_shares, offset, big); offset = stock(tvb, pinfo, nasdaq_itch_tree, offset); offset = price(tvb, pinfo, nasdaq_itch_tree, hf_nasdaq_itch_price, offset, big); return offset; } /* -------------------------- */ static int executed(tvbuff_t *tvb, packet_info *pinfo, proto_tree *nasdaq_itch_tree, int offset, int big) { offset = order_ref_number(tvb, pinfo, nasdaq_itch_tree, offset); offset = number_of_shares(tvb, pinfo, nasdaq_itch_tree, hf_nasdaq_itch_executed, offset, big); proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_match, tvb, offset, 9, ENC_ASCII|ENC_NA); offset += 9; return offset; } /* ---------------------------- */ static int dissect_nasdaq_itch(tvbuff_t *tvb, packet_info *pinfo, proto_tree *tree, void* data _U_) { proto_item *ti; proto_tree *nasdaq_itch_tree = NULL; guint8 nasdaq_itch_type; int offset = 0; int version = 3; int big = 0; const gchar *rep; col_set_str(pinfo->cinfo, COL_PROTOCOL, "Nasdaq-ITCH"); nasdaq_itch_type = tvb_get_guint8(tvb, offset); if (nasdaq_itch_type >= '0' && nasdaq_itch_type <= '9') { version = 2; nasdaq_itch_type = tvb_get_guint8(tvb, offset +8); } if ((!nasdaq_itch_chi_x || version == 3) && strchr(chix_msg, nasdaq_itch_type)) { nasdaq_itch_type = 0; /* unknown */ } rep = val_to_str(nasdaq_itch_type, message_types_val, "Unknown packet type (0x%02x) "); col_add_str(pinfo->cinfo, COL_INFO, rep); if (tree) { proto_item *item; ti = proto_tree_add_protocol_format(tree, proto_nasdaq_itch, tvb, offset, -1, "Nasdaq TotalView-ITCH %s, %s", version == 2?"2.0":"3.0", rep); nasdaq_itch_tree = proto_item_add_subtree(ti, ett_nasdaq_itch); item = proto_tree_add_uint(nasdaq_itch_tree, hf_nasdaq_itch_version, tvb, 0, 0, version); PROTO_ITEM_SET_GENERATED(item); } if (version == 2) { offset = time_stamp (tvb, nasdaq_itch_tree, hf_nasdaq_itch_millisecond, offset, 8); } proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_message_type, tvb, offset, 1, ENC_ASCII|ENC_NA); offset += 1; if (version == 3) { switch (nasdaq_itch_type) { case 'T': /* seconds */ /*offset =*/ time_stamp (tvb, nasdaq_itch_tree, hf_nasdaq_itch_second, offset, 5); return tvb_captured_length(tvb); case 'M': /* milliseconds */ /*offset =*/ time_stamp (tvb, nasdaq_itch_tree, hf_nasdaq_itch_millisecond, offset, 3); return tvb_captured_length(tvb); } } switch (nasdaq_itch_type) { case 'S': /* system event */ proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_system_event, tvb, offset, 1, ENC_ASCII|ENC_NA); /*offset += 1;*/ break; case 'R': /* Stock Directory */ offset = stock(tvb, pinfo, nasdaq_itch_tree, offset); proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_market_category, tvb, offset, 1, ENC_ASCII|ENC_NA); offset += 1; proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_financial_status, tvb, offset, 1, ENC_ASCII|ENC_NA); offset += 1; proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_round_lot_size, tvb, offset, 6, ENC_ASCII|ENC_NA); offset += 6; proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_round_lots_only, tvb, offset, 1, ENC_ASCII|ENC_NA); /*offset += 1;*/ break; case 'H': /* Stock trading action */ offset = stock(tvb, pinfo, nasdaq_itch_tree, offset); proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_trading_state, tvb, offset, 1, ENC_ASCII|ENC_NA); offset += 1; proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_reserved, tvb, offset, 1, ENC_ASCII|ENC_NA); offset += 1; proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_reason, tvb, offset, 4, ENC_ASCII|ENC_NA); /*offset += 4;*/ break; case 'a' : big = 1; /* FALL THROUGH */ case 'A': /* Add order, no MPID */ offset = order(tvb, pinfo, nasdaq_itch_tree, offset, big); if (version == 2) { proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_printable, tvb, offset, 1, ENC_ASCII|ENC_NA); /*offset += 1;*/ } break; case 'F': /* Add order, MPID */ offset = order(tvb, pinfo, nasdaq_itch_tree, offset, big); proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_attribution, tvb, offset, 4, ENC_ASCII|ENC_NA); /*offset += 4;*/ break; case 'e' : big = 1; /* FALL THROUGH */ case 'E' : /* Order executed */ /*offset =*/ executed(tvb, pinfo, nasdaq_itch_tree, offset, big); break; case 'C' : /* Order executed with price */ offset = executed(tvb, pinfo, nasdaq_itch_tree, offset, big); proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_printable, tvb, offset, 1, ENC_ASCII|ENC_NA); offset += 1; /*offset = */price(tvb, pinfo, nasdaq_itch_tree, hf_nasdaq_itch_execution_price, offset, big); break; case 'x' : big = 1; /* FALL THROUGH */ case 'X' : /* Order cancel */ offset = order_ref_number(tvb, pinfo, nasdaq_itch_tree, offset); /*offset = */number_of_shares(tvb, pinfo, nasdaq_itch_tree, hf_nasdaq_itch_canceled, offset, big); break; case 'D' : /* Order delete */ /*offset = */order_ref_number(tvb, pinfo, nasdaq_itch_tree, offset); /*offset += 9;*/ break; case 'p' : big = 1; /* FALL THROUGH */ case 'P' : /* Trade identifier */ offset = order(tvb, pinfo, nasdaq_itch_tree, offset, big); proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_match, tvb, offset, 9, ENC_ASCII|ENC_NA); /*offset += 9;*/ break; case 'Q' : /* Cross Trade */ offset = number_of_shares(tvb, pinfo, nasdaq_itch_tree, hf_nasdaq_itch_shares, offset, big); offset = stock(tvb, pinfo, nasdaq_itch_tree, offset); offset = price(tvb, pinfo, nasdaq_itch_tree, hf_nasdaq_itch_price, offset, big); proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_match, tvb, offset, 9, ENC_ASCII|ENC_NA); offset += 9; proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_cross, tvb, offset, 1, ENC_ASCII|ENC_NA); /*offset += 1;*/ break; case 'B' : /* Broken Trade */ proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_match, tvb, offset, 9, ENC_ASCII|ENC_NA); /*offset += 9;*/ break; case 'I': /* NOII, FIXME */ offset = stock(tvb, pinfo, nasdaq_itch_tree, offset); proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_cross, tvb, offset, 1, ENC_ASCII|ENC_NA); /*offset += 1;*/ break; default: /* unknown */ proto_tree_add_item(nasdaq_itch_tree, hf_nasdaq_itch_message, tvb, offset, -1, ENC_ASCII|ENC_NA); /*offset += 5-1;*/ break; } return tvb_captured_length(tvb); } /* Register the protocol with Wireshark */ void proto_register_nasdaq_itch(void) { /* Setup list of header fields See Section 1.6.1 for details*/ static hf_register_info hf[] = { { &hf_nasdaq_itch_version, { "Version", "nasdaq-itch.version", FT_UINT8, BASE_DEC, NULL, 0x0, NULL, HFILL }}, { &hf_nasdaq_itch_message_type, { "Message Type", "nasdaq-itch.message_type", FT_CHAR, BASE_HEX, VALS(message_types_val), 0x0, NULL, HFILL }}, { &hf_nasdaq_itch_second, { "Second", "nasdaq-itch.second", FT_UINT32, BASE_DEC, NULL, 0x0, NULL, HFILL }}, { &hf_nasdaq_itch_millisecond, { "Millisecond", "nasdaq-itch.millisecond", FT_UINT32, BASE_DEC, NULL, 0x0, NULL, HFILL }}, { &hf_nasdaq_itch_system_event, { "System Event", "nasdaq-itch.system_event", FT_CHAR, BASE_HEX, VALS(system_event_val), 0x0, NULL, HFILL }}, { &hf_nasdaq_itch_market_category, { "Market Category", "nasdaq-itch.market_category", FT_CHAR, BASE_HEX, VALS(market_category_val), 0x0, NULL, HFILL }}, { &hf_nasdaq_itch_financial_status, { "Financial Status Indicator", "nasdaq-itch.financial_status", FT_CHAR, BASE_HEX, VALS(financial_status_val), 0x0, NULL, HFILL }}, { &hf_nasdaq_itch_stock, { "Stock", "nasdaq-itch.stock", FT_STRING, BASE_NONE, NULL, 0x0, NULL, HFILL }}, { &hf_nasdaq_itch_round_lot_size, { "Round Lot Size", "nasdaq-itch.round_lot_size", FT_STRING, BASE_NONE, NULL, 0x0, NULL, HFILL }}, { &hf_nasdaq_itch_round_lots_only, { "Round Lots Only", "nasdaq-itch.round_lots_only", FT_CHAR, BASE_HEX, VALS(round_lots_only_val), 0x0, NULL, HFILL }}, { &hf_nasdaq_itch_trading_state, { "Trading State", "nasdaq-itch.trading_state", FT_STRING, BASE_NONE, NULL, 0x0, NULL, HFILL }}, { &hf_nasdaq_itch_reserved, { "Reserved", "nasdaq-itch.reserved", FT_STRING, BASE_NONE, NULL, 0x0, NULL, HFILL }}, { &hf_nasdaq_itch_reason, { "Reason", "nasdaq-itch.reason", FT_STRING, BASE_NONE, NULL, 0x0, NULL, HFILL }}, { &hf_nasdaq_itch_order_reference, { "Order Reference", "nasdaq-itch.order_reference", FT_UINT32, BASE_DEC, NULL, 0x0, "Order reference number", HFILL }}, { &hf_nasdaq_itch_buy_sell, { "Buy/Sell", "nasdaq-itch.buy_sell", FT_STRING, BASE_NONE, NULL, 0x0, "Buy/Sell indicator", HFILL }}, { &hf_nasdaq_itch_shares, { "Shares", "nasdaq-itch.shares", FT_UINT32, BASE_DEC, NULL, 0x0, "Number of shares", HFILL }}, { &hf_nasdaq_itch_price, { "Price", "nasdaq-itch.price", FT_DOUBLE, BASE_NONE, NULL, 0x0, NULL, HFILL }}, { &hf_nasdaq_itch_attribution, { "Attribution", "nasdaq-itch.attribution", FT_STRING, BASE_NONE, NULL, 0x0, "Market participant identifier", HFILL }}, { &hf_nasdaq_itch_executed, { "Executed Shares", "nasdaq-itch.executed", FT_UINT32, BASE_DEC, NULL, 0x0, "Number of shares executed", HFILL }}, { &hf_nasdaq_itch_match, { "Matched", "nasdaq-itch.match", FT_STRING, BASE_NONE, NULL, 0x0, "Match number", HFILL }}, { &hf_nasdaq_itch_printable, { "Printable", "nasdaq-itch.printable", FT_STRING, BASE_NONE, NULL, 0x0, NULL, HFILL }}, { &hf_nasdaq_itch_execution_price, { "Execution Price", "nasdaq-itch.execution_price", FT_DOUBLE, BASE_NONE, NULL, 0x0, NULL, HFILL }}, { &hf_nasdaq_itch_canceled, { "Canceled Shares", "nasdaq-itch.canceled", FT_UINT32, BASE_DEC, NULL, 0x0, "Number of shares to be removed", HFILL }}, { &hf_nasdaq_itch_cross, { "Cross Type", "nasdaq-itch.cross", FT_STRING, BASE_NONE, NULL, 0x0, "Cross trade type", HFILL }}, { &hf_nasdaq_itch_message, { "Message", "nasdaq-itch.message", FT_STRING, BASE_NONE, NULL, 0x0, NULL, HFILL }} }; /* Setup protocol subtree array */ static gint *ett[] = { &ett_nasdaq_itch }; module_t *nasdaq_itch_module; /* Register the protocol name and description */ proto_nasdaq_itch = proto_register_protocol("Nasdaq TotalView-ITCH", "NASDAQ-ITCH", "nasdaq_itch"); /* Required function calls to register the header fields and subtrees used */ proto_register_field_array(proto_nasdaq_itch, hf, array_length(hf)); proto_register_subtree_array(ett, array_length(ett)); nasdaq_itch_module = prefs_register_protocol(proto_nasdaq_itch, NULL); prefs_register_bool_preference(nasdaq_itch_module, "chi_x", "Decode Chi X extensions", "Whether the Nasdaq ITCH dissector should decode Chi X extensions.", &nasdaq_itch_chi_x); nasdaq_itch_handle = register_dissector("nasdaq-itch", dissect_nasdaq_itch, proto_nasdaq_itch); } void proto_reg_handoff_nasdaq_itch(void) { dissector_add_for_decode_as("moldudp64.payload", nasdaq_itch_handle ); dissector_add_for_decode_as("moldudp.payload", nasdaq_itch_handle ); } /* * Editor modelines * * Local Variables: * c-basic-offset: 2 * tab-width: 8 * indent-tabs-mode: nil * End: * * ex: set shiftwidth=2 tabstop=8 expandtab: * :indentSize=2:tabSize=8:noTabs=true: */