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processData() does not always match a 'market' order with an appropriate 'limit' order so some trades are lost #24

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petr-fedorov opened this issue Oct 2, 2018 · 0 comments
Open

processData() does not always match a 'market' order with an appropriate 'limit' order so some trades are lost #24

petr-fedorov opened this issue Oct 2, 2018 · 0 comments

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@petr-fedorov
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Below is an excerpt from "Example limit order book data" (lob.data$events) showing 'changed' events for 'market' orders that do not have a corresponding limit order event (matching.event equals NA):

2018-10-02 17-58-04

It appears that the trades corresponding to the above events are missing from lob.data$trades . The total number of 'market' and 'market-limit' events with matching.event equals NA is 43 while the number of trades in lob.data$trades is 482. Thus approximately 8% of trades are missing?
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@petr-fedorov