Reconstruction an order book from an ITCH Feed: Am I missing something?

Quote from hft_boy:


//limit:91200,size:11310,buy:true,is BBO:true//
orderId,shares,entryTime
10177853,300,34204.318000000
10281616,5000,34205.827000000
10403582,1310,34208.890000000
10414938,400,34209.242000000
10414942,600,34209.242000000
10414949,100,34209.242000000
10414968,1000,34209.242000000
10414969,300,34209.242000000
10450934,100,34210.485000000
-->10460488,700,34210.712000000
10460627,600,34210.713000000
10460741,1600,34210.713000000

There must be some sort of priority which I'm not aware of. Maybe these are pegged orders which spontaneously show up at BBO changes for some reason. Or maybe they are routed from other exchanges. Any ideas?
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Is this the raw data you are getting? If so, this is not raw ITCH data, someone along the way is cooking it somewhat. I'll bet that step is where the problem is. I do not believe that sale conditions are the answer to this.
 
Quote from monstimal:

Is this the raw data you are getting? If so, this is not raw ITCH data, someone along the way is cooking it somewhat. I'll bet that step is where the problem is. I do not believe that sale conditions are the answer to this.
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Of course this isn't the raw feed :). That would just be a bunch of bytes which you couldn't read. Those are just my debugging print statements.
 
Quote from hft_boy:

Of course this isn't the raw feed :). That would just be a bunch of bytes which you couldn't read. Those are just my debugging print statements.
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Well I guess I don't understand the question. You've taken the feed and tried to build the book and executions and have found some executions that don't make sense/seem to violate rules. I think that indicates there are mistakes in your reading of the ITCH messages.
 
Quote from monstimal:

Well I guess I don't understand the question. You've taken the feed and tried to build the book and executions and have found some executions that don't make sense/seem to violate rules. I think that indicates there are mistakes in your reading of the ITCH messages.
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Well that is always a possibility. But the code is simple, and also pretty well debugged. Also, the OP seemed to have the same problem, so that reduces the chance that it's a problem with my code. The trace statement that I posted basically shows that these rogue orders were appearing out of nowhere and getting executed against.
 
Quote from hft_boy:

The trace statement that I posted basically shows that these rogue orders were appearing out of nowhere and getting executed against.
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Sounds a lot like darkpool activity to me....
 
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