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Does anybody know of a data feed that is able to filter the cross orders, both real time and historical?
0
votes
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?
data
crossorders
asked
May 27, 2017
in
Data sources
by
Eduardo
1 Answer
0
votes
Cross trades are prohibited by majority of exchanges.
answered
May 27, 2017
by
admin
(
9,260
points)
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.
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