Im currently trying to estimate the frequency of incoming market orders to MtGox order book. Assume the following buy limit orders:
against which ONE market order to sell 5 btc is submitted. The transactions would be recorded for instance as:
Trade_ID Unix_date Price Amount Type Properties
1 123456789 150 2 sell market
2 123456789 149 3 sell market
The key problem is that despite there was just one incoming order, it is recorded in two rows because it was matched against two outstanding limir orders.
1) If both trades have same TRADE_ID, it is possible to group the transactions. Does it really work that way? Do trades resulting from one order but matched against more orders same Trade_ID?
2) Grouping according to unix time stamp. I assume that these two transactions would have same time stamp? If yes, is is possible that any other market order arrives just at the same microsecond as the one above? Or is the microsecond so small time interval that it is not possible for two orders to have same unix time stamp?