Recent content by johnny_no_lots

hft_boy: From what I understand now, there is some leeway in reporting when an order is crossed. I can hypothesis about why, but it wouldn't be too useful for you, since it's merely conjecture.. Instead, I solved this by simply adding an adjacent structure to my order book implementation...

sma202 and monstimal: thank you both for your responses. Subsequent to my post, I modified my simulator to execute trades exactly as the ITCH feed specified. The three general classes of ITCH messages -- adds, cancels, and executes -- all have order id's associated with the message. By...

I am attempting to reconstruct the order book for a single day (2012-07-09), using TradingPhysics' Nasdaq ITCH CSV file. The simulation is congruent with the ITCH feed -- by which, I mean, by treating my order book with each instruction, I get the same prices and order ID's executing -- until...