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Limit orders cancellations

Posted: January 25th, 2011, 11:32 pm
by tu160
Is there any data-feed product on the market which provides exact cancellations location inside order book stack?

Limit orders cancellations

Posted: January 26th, 2011, 4:55 pm
by Errrb
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.

Limit orders cancellations

Posted: March 1st, 2011, 4:59 pm
by tu160