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tu160
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Posts: 363
Joined: October 23rd, 2007, 1:14 pm

Limit orders cancellations

January 25th, 2011, 11:32 pm

Is there any data-feed product on the market which provides exact cancellations location inside order book stack?
 
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Errrb
Posts: 1398
Joined: December 17th, 2002, 4:18 pm

Limit orders cancellations

January 26th, 2011, 4:55 pm

QuoteOriginally posted by: tu160 Is there any data-feed product on the market which provides exact cancellations location inside order book stack?Direct feeds such ARCA and NASDAQ (also other) provide you raw messages from exchanges, there is a specific message which corresponds to cancel/change order.
 
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tu160
Topic Author
Posts: 363
Joined: October 23rd, 2007, 1:14 pm

Limit orders cancellations

March 1st, 2011, 4:59 pm

Last edited by tu160 on December 9th, 2011, 11:00 pm, edited 1 time in total.
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