Recent content by johnny_no_lots
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Reconstruction an order book from an ITCH Feed: Am I missing something?
Meaning?- johnny_no_lots
- Post #3
- Forum: Technical Analysis
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J
Reconstruction an order book from an ITCH Feed: Am I missing something?
I am attempting to reconstruct the order book for a single day (2012-07-09), using TradingPhysics' Nasdaq ITCH CSV file. The simulation is congruent with the ITCH feed -- by which, I mean, by treating my order book with each instruction, I get the same prices and order ID's executing -- until...- johnny_no_lots
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- Replies: 3
- Forum: Technical Analysis