I have some Level III (message level) data for equities and I have found several cases in which I register the execution of a Limit Order at a price "worse" than the best bid or ask. For example, ...
Where do i find the trade execution priority rules for special order types on continous auction markets
I'm looking for documentation on how trade execution is ordered on exchanges with non standard order types. Especially linked/contingent/stop type orders. Any exchange that implements these with ...
If a stock is having ask = 100$ for 100 shares Ask size, and I put a buy market order for 1000 shares, is there an approach to estimate that this buy order will move up the stock price by what %? I ...