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Assessing NASDAQ ITCH Order Reference Number Patterns

Article Quant Q&A · Author: Jonathan Evans
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Summary

The document considers whether NASDAQ TotalView ITCH order reference numbers are sequential, random, or patterned, with the practical goal of choosing an efficient hash table for a memory constrained device. The response suggests asking the data provider about the identifier scheme and recording incoming order IDs for later analysis. It offers a tentative expectation that identifiers may increase sequentially within each instrument, but gives no supporting data or analysis.

Treat that expectation as a hypothesis rather than a documented property of ITCH. The note does not describe a sampling procedure, quantify identifier distributions, or establish whether numbering is global, per instrument, or otherwise assigned. A developer would need to inspect representative feed data or obtain authoritative protocol guidance before relying on any pattern when selecting a hash strategy.

Key ideas

  • Ask the data provider how order reference numbers are assigned.
  • Record observed identifiers and analyze them for patterns.
  • Sequential growth per instrument is suggested only as an unverified possibility.
  • The document provides no measured evidence about identifier distribution.

Tags

Market microstructureHigh-frequency tradingStatistics
Full text
# NASDAQ TotalView ITCH order reference number number characteristics


# NASDAQ TotalView ITCH order reference number number characteristics












I am building a custom hash implementation for storing NASDAQ ITCH order messages. Obviously this is keyed on the order reference number and I am wondering if these numbers are sequential, random or exhibit any interesting characteristics in their distribution.

The hash table will be on a relatively low memory device and knowing these characteristics will allow me to efficiently optimise the datastructure.

## Answer by Serg (score 1)

https://quant.stackexchange.com/a/3116

I don't work with ITCH, but I would do the following:

1) ask the data provider.

2) whenever a new order arrives, record it's ID separately, and then analyze for a pattern.

Most probably they are sequentially growing numbers per instrument.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.