If you have L1 data of a given security, what is the best practice to interpret it to a list of transaction/trades? Or, can we actually do so?
Just FYI, it's not a project for school but a problem I encounter in my full-time job. I thought it would be pretty easy at my first glance but now I realize there should be some "best solution" to this specific question, at least I might be missing something here.
What I'm doing now is to calculate the bid/ask quantity change by each update in the L1 book as traded volume (with price as last traded price, of course).
Planning to make it an open-source repo on GitHub later, at least for students and new beginners in this industry.
Now I tend to think it's not possible to do so with Level 1 data.