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

0 votes
asked May 27, 2017 in Data sources by Eduardo
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?

1 Answer

0 votes
answered May 27, 2017 by admin (9,260 points)
Cross trades are prohibited by majority of exchanges.
commented May 27, 2017 by Eduardo
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.
...