Recent content by basic_trader

So I understand that when reconstructing the order book from historical data, I have no choice but to ignore the hidden execution messages. As they do not change the state of the order book. I guess what troubles me is that I feel I am missing something in my back testing when ignoring these...

Thanks for the explanation. Can a hidden order (e.g. sell) be matched against a non-hidden order (e.g. buy), or only against another hidden order? If it is matched against a non-hidden order, then I would see an execution message for that non-hidden order.

Hi, I am trying to reconstruct the limit order book from the NASDAQ ITCH feed, and am confused on how to treat the hidden order execution messages (The "P" Trade message for non-displayable orders). Do these orders impact the limit order book? How? If they do, how would one go about updating...