Below is an excerpt from "Example limit order book data" (lob.data$events) showing 'changed' events for 'market' orders that do not have a corresponding limit order event (matching.event equals NA):
It appears that the trades corresponding to the above events are missing from lob.data$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$trades is 482. Thus approximately 8% of trades are missing?
Below is an excerpt from "Example limit order book data" (
lob.data$events) showing 'changed' events for 'market' orders that do not have a corresponding limit order event (matching.eventequals NA):It appears that the trades corresponding to the above events are missing from
lob.data$trades. The total number of 'market' and 'market-limit' events withmatching.eventequals NA is 43 while the number of trades inlob.data$tradesis 482. Thus approximately 8% of trades are missing?