Classifying Limit Orders, Market Orders, and Cancellations in Full-Depth Data

Summary

The document describes how to distinguish order events in full-depth equity market data, particularly when preparing intraday records for analysis or machine learning. It maps message labels to their likely roles: adds on the bid or ask represent limit orders, executions against the ask or bid represent buying or selling market activity, and delete or cancel messages indicate removal of resting orders. The answer further distinguishes full from partial executions and cancellations, as well as trades involving non-displayed orders.

The classifications are presented as event names from a particular data format’s documentation, with links to the original references. They offer a practical starting point for labeling order flow, but the excerpt does not define the feed’s full schema or explain how to validate each event in other vendors’ data. Market and limit order labels are inferred from message semantics; users should check venue and provider conventions before treating those categories as universal.

Key ideas

• Bid and ask add messages represent new resting limit orders in the cited feed.
• Execution messages identify activity against resting bid or ask liquidity.
• Delete and cancel events distinguish full from partial order removal.
• Feed-specific message labels should be checked against the provider’s documentation before reuse.

Tags

# Market, Limit and Cancellation orders


# Market, Limit and Cancellation orders












From the paper https://web.stanford.edu/class/msande448/2017/Final/Reports/gr4.pdf page 8, I need at least the limit and market order. I can easily find the full depth from dxfeed or algoseek, but I can't really separate clearly the market and limit orders for deep learning purposes. I thought to collect my own data, but the problem is I need the data right now. I don't have the choice to buy the data from a provider.

Any thoughts how to get the market and limit orders separately (intraday)?

## Answer by Alexey Golyshev (score 3, accepted)

https://quant.stackexchange.com/a/41174

https://quant.stackexchange.com/a/41173

```

sell market orders: 'FILL ASK' (execute outstanding order in full), 'EXECUTE ASK' (execute outstanding order in part), 'TRADE ASK' (execute non-displayed order)
buy market orders: 'FILL BID', 'EXECUTE BID', 'TRADE BID'
bid order cancellation: 'DELETE BID' (delete outstanding order in full), 'CANCEL BID' (cancel outstanding order in part)
ask order cancellation: 'DELETE ASK', 'CANCEL ASK'
bid orders: 'ADD BID'
ask orders: 'ADD ASK'
```

Information from the documentation: https://www.algoseek.com/static/files/documentation/equity_and_etf_etn/AlgoSeek.US.Equities.FullDepth.1.0.pdf

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.