# Market, Limit and Cancellation orders

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.

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

• 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). – Lipa_FNTE Aug 8 '18 at 10:47
• I have the full depth/tick data so far. I updated the question. – user1050421 Aug 8 '18 at 15:41

sell market orders: 'FILL ASK' (execute outstanding order in full), 'EXECUTE ASK' (execute outstanding order in part), 'TRADE ASK' (execute non-displayed order)