Question

Does anybody know of a data feed that is able to filter the cross orders, both real time and historical?

How representative are Cross orders VOLUME in relation to total volume?

Answer 1

Cross trades are prohibited by majority of exchanges.

Comments

This is not entirely true: http://www.investopedia.com/terms/c/cross.asp

The thing is that cross trades can be huge and affect the calculation of Delta Volume. In some assets cross trades between funds from the same manager can amount for a significant volume and they don't represent a true intention to buy/sell.