Search Results

Search Again

  1. reconstructing LOB from NASDAQ ITCH feed - cross trade messages

    Hi, I am trying to reconstruct the limit order book from the NASDAQ ITCH 4.1 feed, and am confused on how to treat the cross trade messages...
    Thread by: limetrader, Oct 17, 2016, 2 replies, in forum: Data Sets and Feeds
Showing results 1 to 1 of 1
Search Again