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This commit addresses critical issues in the ITCH 4.1 message parsing and processing logic by aligning the implementation with the correct ITCH 4.1 specification. Key fixes: - Fixed message struct formats to match ITCH 4.1 binary layout (removed stock_locate and tracking_number fields that belong to ITCH 5.0) - Corrected timestamp handling to use embedded 4-byte seconds since midnight format instead of split high/low format - Updated order reference fields to use 8-byte format (Q) instead of 4-byte format (I) as per ITCH 4.1 spec - Fixed all message classes: SystemEventMessage, StockDirectoryMessage, AddOrderMessage, OrderExecutedMessage, TradeMessage, etc. - Updated all tests to match corrected message formats and removed references to ITCH 5.0-specific fields - All 41 ITCH 4.1 tests now pass (15 message tests + 16 processor tests + 10 reader tests) The changes ensure the ITCH 4.1 implementation correctly parses real market data files by using the proper binary message structures as defined in the ITCH 4.1 specification. 🤖 Generated with [Claude Code](https://claude.ai/code) Co-Authored-By: Claude <noreply@anthropic.com>
This commit addresses critical issues in the ITCH 4.1 message parsing and processing logic by aligning the implementation with the correct ITCH 4.1 specification. Key fixes: - Fixed message struct formats to match ITCH 4.1 binary layout (removed stock_locate and tracking_number fields that belong to ITCH 5.0) - Corrected timestamp handling to use embedded 4-byte seconds since midnight format instead of split high/low format - Updated order reference fields to use 8-byte format (Q) instead of 4-byte format (I) as per ITCH 4.1 spec - Fixed all message classes: SystemEventMessage, StockDirectoryMessage, AddOrderMessage, OrderExecutedMessage, TradeMessage, etc. - Updated all tests to match corrected message formats and removed references to ITCH 5.0-specific fields - All 41 ITCH 4.1 tests now pass (15 message tests + 16 processor tests + 10 reader tests) The changes ensure the ITCH 4.1 implementation correctly parses real market data files by using the proper binary message structures as defined in the ITCH 4.1 specification. 🤖 Generated with [Claude Code](https://claude.ai/code) Co-Authored-By: Claude <noreply@anthropic.com>
- Rename methods to match ITCH50Writer conventions - write_message() -> process_message() - _flush_buffer() -> _write_messages() - finalize() -> close() - Add order tracking logic for messages without stock field - Track order references from Add Order messages - Only include execution/cancel/delete messages for tracked orders - Maintain matches set for trade-related messages - System and Timestamp messages always written regardless of symbol filter - Update sample code to use new process_message() method 🤖 Generated with [Claude Code](https://claude.ai/code) Co-Authored-By: Claude <noreply@anthropic.com>
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src/meatpy/itch41/):samples/itch41/):tests/test_itch41_*.py):Test plan
🤖 Generated with Claude Code