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From the paper https://web.stanford.edu/class/msande448/2017/Final/Reports/gr4.pdf page 8, I need at least the limit and market order. I can easily find the full depth from dxfeed or algoseek, but I can't really separate clearly the market and limit orders for deep learning purposes. I thought to collect my own data, but the problem is I need the data right now. I don't have the choice to buy the data from a provider.

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Any thoughts how to get the market and limit orders separately (intraday)?

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  • $\begingroup$ Could you tell what dataset do you have right now? Is it orderbook or last transactions? And could you provide a quotation that you are talking about (at page 8). $\endgroup$ – Lipa_FNTE Aug 8 '18 at 10:47
  • $\begingroup$ I have the full depth/tick data so far. I updated the question. $\endgroup$ – user1050421 Aug 8 '18 at 15:41
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https://quant.stackexchange.com/a/41173

sell market orders: 'FILL ASK' (execute outstanding order in full), 'EXECUTE ASK' (execute outstanding order in part), 'TRADE ASK' (execute non-displayed order)
buy market orders: 'FILL BID', 'EXECUTE BID', 'TRADE BID'
bid order cancellation: 'DELETE BID' (delete outstanding order in full), 'CANCEL BID' (cancel outstanding order in part)
ask order cancellation: 'DELETE ASK', 'CANCEL ASK'
bid orders: 'ADD BID'
ask orders: 'ADD ASK'

Information from the documentation: https://www.algoseek.com/static/files/documentation/equity_and_etf_etn/AlgoSeek.US.Equities.FullDepth.1.0.pdf

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