Visualize 300 orders at a level, price trades past it and there are 275 unfilled. Is there a way to track this data? Like ratio of completed orders or something.
R Trader Pro by Rithmic does show you how many lots are getting filled at a specific level and how where you are in the queue. I think this is what you are looking for.
how can a price trade past an order? If you have an order to sell 10@50.25 and "price trades past it" do you think there's a new offer @50.26 and unfilled orders to sell @50.25. Doesn't make sense
What they are observing is the refresh of limit at price. Limit orders are always facing market orders, that’s the structure of a continuous dual auction market.
So I don't know man I see this all the time, though. All the orders at one price don't run out before price goes past it.
You could be seeing out of order (late) trades showing in your data feed (the trades didn't necessarily happen in the order you receive the data of them), orders that were cancelled and you didn't get the update fast enough, etc, but it actually shouldn't happen that a trade through happens aside from AON orders.