So I understand that when reconstructing the order book from historical data, I have no choice but to ignore the hidden execution messages. As...
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...
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...
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