Nasdaq TotalView‑ITCH 5.0 · 2019‑12‑30 · 12:00–12:20 ET
limitbook is a no_std Rust ITCH 5.0 engine, compiled to
WebAssembly — parsing the raw exchange feed zero‑copy and
reconstructing the limit order book for AAPL, TSLA and SPY as you watch.
wall‑clock rate through the wasm engine, updating as the replay below runs
space play/pause · 1–5 speed · ←→ seek · click a price to inspect its queue, an order to track it, esc to reset every number on screen is read back out of the engine
What you're watching
No simulation layer, no pre-rendered data — the tab you're in does the same work a feed handler does, in four steps.
Raw ITCH bytes in
Your browser downloads ~1.6 MB of gzipped ITCH 5.0 — the binary format Nasdaq actually disseminates — and decodes it zero‑copy, reading fields straight off the byte slice with no intermediate allocation.
157,824 length‑prefixed messages
adds · executions · cancels · deletes · replaces
Price‑time priority queue
Each message mutates a limit order book kept in strict price‑time
priority by limitbook-core, a #![no_std] crate
compiled unchanged to wasm32-unknown-unknown — the exact
code path behind the native CLI.
Reconstructed live, then proven
Every level above is computed in your tab and deep‑checked every
1,000 messages. At the end, the final book is compared tick‑for‑tick
against limitbook replay — the parity badge you see land.
Measured, not estimated
Every figure here is reproducible from the repo — the same fixtures, the same benchmark harness, and the same CI that guards the parity you just watched.
The complete 2019‑12‑30 TotalView sample day — 268,744,780 messages — replayed end to end through parser and book with zero invariant violations and zero parse errors.
≈1 GB/s of raw feed decoded on one Xeon core, verified by a per‑run timestamp checksum. Full book reconstruction included: 1.38M msg/s.
The browser build reproduces the CLI's final book state tick‑for‑tick on both committed fixtures — asserted on every push, and again live at the end of the replay above.
Methodology, hardware, and flamegraphs: BENCHMARKS.md.