Hi - I am working with L2 MBO from oslo equities exchange. Its been suggested to me that one can derive trade info from the MBO delete key action. For example if I recieve a "delete key F0" and that removes firstname.lastname@example.org of liquidity from the BID side....can I generate a SELL1000@1.32?
If each delete action in the MBO data stream represents a trade, how do you represent these order book events:
- pull order - ie remove liquidify without a trade
- modify order - ie change the size of an order
- partial executions
is this approach valid? can you comment please?