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...
sma202 and monstimal: thank you both for your responses. Subsequent to my post, I modified my simulator to execute trades exactly as the ITCH...
I am attempting to reconstruct the order book for a single day (2012-07-09), using TradingPhysics' Nasdaq ITCH CSV file. The simulation is...
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