Questions tagged [feed]
The feed tag has no usage guidance.
3
questions with no upvoted or accepted answers
2
votes
0answers
250 views
Data feed that shows individual orders
Does anyone know how I can obtain time and sales data for a stock?
Lots of feeds provide the total volume but I would like to see the breakdown of what buy/sell orders made up the day's volume.
I ...
-1
votes
1answer
134 views
ITCH feed, price executed at different to original order?
I am parsing an ITCH feed (Nasdaq) and I received an Add message (A) for 100@105.2 on the Ask.
Later I receive an Order Executed message (E), indicating 5 lots of the above order had been filled. No ...
-1
votes
2answers
82 views
Locked/crossed prices in US equities
I'm trying to build a consolidated LOB from several direct feeds.
However, there are many instances in which for a given stock, the bid price in one venue equals or crosses the ask price in a ...
