Hi all, I am looking at some intra-day level 2 data. Supposedly the data are order arrivals/updates. The documentation wasn't clear about what are the cancellation orders, so I am doing some experiments to test several possibilities of identification of cancellation orders. Does anybody roughly have an idea about the number/frequency of cancellation orders intraday, from premarket to aftermarket in one day, and the proportion of cancellation orders to non-cancellation orders? For example, for QQQQ? Here is the result from my data file, based on my current assumption about the identification of cancellation orders: Total Number of Order Arrivals: 31688481 Number of Cancellation Order Arrivals: 9148736 Is it possible for Nasdaq level 2 order arrival data to have about 1/3 of its total arrivals/updates to be cancellation orders?