Messages

ITCH provides the public information required to build each full orderbook.
Messages are published when orders are publicly added, removed, amended and executed, as well as for trades that occur outside of the book.

Messages that are sent in the reference spin, or dissemination of static data at the start of each ITCH feed are indicated in the Sent in reference spin? column. Messages sent throughout the session are indicated in the Sent dynamically? column.

Message	Name	Description
T	Timestamp [T]	Time since Epoch (UTC), for use with messages following
S	System Event [S]	Scheduled and triggered events in the system
L	Price Tick Size [L]	Lookup tables for orderbook price ticks
M	Quantity Tick Size [M]	Lookup tables for orderbook quantity ticks
R	Orderbook Directory [R]	Reference information for an orderbook
H	Orderbook Trading Action [H]	A change in trading state for an orderbook
X	Orderbook Attribute [X]	Dynamic reference values for an orderbook
F	Firm Directory [F]	Reference information for Participants in the system
A	Add Order [A]	An order is added to the orderbook
E	Order Executed [E]	An existing order in the orderbook is matched
C	Order Executed with Price [C]	An existing order in the orderbook is matched at a specified price
B	Broken Trade [B]	An existing match is cancelled
D	Order Delete [D]	Removal of an order from the orderbook
U	Order Replace [U]	Amendment of an existing order in the orderbook
I	Indicative Price/Quantity [I]	Provides indicative information for an active auction. Only sent on this feed during auction periods.
P	Trade [P]	Quantity not currently in the orderbook is matched
N	News [N]	Provides news information from the exchange
Y	Index Member Directory [Y]	Index member reference information
Z	Index Value [Z]	Index value dissemination