johnny_no_lots
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I am attempting to reconstruct the order book for a single day (2012-07-09), using TradingPhysics' Nasdaq ITCH CSV file. The simulation is congruent with the ITCH feed -- by which, I mean, by treating my order book with each instruction, I get the same prices and order ID's executing -- until 09:30:00.419-04. (That's not less than one second of congruence; the first trade is at 07:00:03 and 91,404 messages were successfully processed before the error was encountered.)
At 09:30:00.419-04, the ITCH feed says an order that was placed immediately prior to the execution (0 seconds difference), executed for 300 sold. The order that was placed did not improve the best offer, and there was already 3100 shares sitting at the price offered by the new order -- that is, it was not first in queue. My order book instead said that if 300 were executing, it should have been off an order that was placed at 09:30:00.180-04. (EDIT: Previously, I mistakenly said this order was placed at the same time.) This order set the best offer.
My limit order book is well-tested, so either 1) I have failed to implement a rule that I am unaware of or 2) the ITCH feed is wrong. In general, I always assume I'm at fault until proven otherwise, so I'm going with (1).
I thought that perhaps the subsequently placed but immediately executed order was being executed elsewhere, but I don't see why that would happen.
At 09:30:00.419-04, the ITCH feed says an order that was placed immediately prior to the execution (0 seconds difference), executed for 300 sold. The order that was placed did not improve the best offer, and there was already 3100 shares sitting at the price offered by the new order -- that is, it was not first in queue. My order book instead said that if 300 were executing, it should have been off an order that was placed at 09:30:00.180-04. (EDIT: Previously, I mistakenly said this order was placed at the same time.) This order set the best offer.
My limit order book is well-tested, so either 1) I have failed to implement a rule that I am unaware of or 2) the ITCH feed is wrong. In general, I always assume I'm at fault until proven otherwise, so I'm going with (1).
I thought that perhaps the subsequently placed but immediately executed order was being executed elsewhere, but I don't see why that would happen.
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