Serial Correlation in the Limit Order Flow: Causes and Impact

2008 ◽  
Author(s):  
Wee Yong Yeo
Keyword(s):  
Serial Correlation ◽  
Order Flow ◽  
Limit Order

Do (Should) Brokers Route Limit Orders to Options Exchanges That Purchase Order Flow?

2019 ◽  
pp. 1-29
Author(s):  
Robert Battalio ◽  
Todd Griffith ◽  
Robert Van Ness
Keyword(s):  
Empirical Evidence ◽  
Stock Exchange ◽  
Order Flow ◽  
Limit Order ◽  
Purchase Order ◽  
Limit Orders ◽  
Order Execution

We examine whether options exchanges’ pricing schedules affect broker order routing behavior and limit order execution quality. We find that some brokers seemingly maximize the value of their order flow by selling marketable orders and sending nonmarketable orders to exchanges that offer large liquidity rebates. Other brokers appear to bypass liquidity rebates by routing both marketable and nonmarketable orders to exchanges that purchase order flow. Using a decision by the Philadelphia Stock Exchange (PHLX) to change its trading protocol, we provide empirical evidence that brokers can enhance limit order execution quality by routing nonmarketable limit orders to options exchanges that purchase order flow.

scholarly journals Analysis of Limit Order Book and Order Flow

2003 ◽  
Author(s):  
Charlie Charoenwong ◽  
Nuttawat Visaltanachoti ◽  
David K. Ding
Keyword(s):  
Limit Order Book ◽  
Order Book ◽  
Order Flow ◽  
Limit Order

scholarly journals Multi-Level Order-Flow Imbalance in a Limit Order Book

2018 ◽  
Vol 04 (03n04) ◽  
pp. 1950011
Author(s):  
Ke Xu ◽  
Martin D. Gould ◽  
Sam D. Howison
Keyword(s):  
Limit Order Book ◽  
Quality Data ◽  
Order Book ◽  
Order Flow ◽  
Limit Order ◽  
Data Set ◽  
Flow Imbalance ◽  
Multi Level ◽  
Flow Activity ◽  
Level Order

We study the multi-level order-flow imbalance (MLOFI), which is a vector quantity that measures the net flow of buy and sell orders at different price levels in a limit order book (LOB). Using a recent, high-quality data set for six liquid stocks on Nasdaq, we fit a simple, linear relationship between MLOFI and the contemporaneous change in mid-price. For all six stocks that we study, we find that the out-of-sample goodness-of-fit of the relationship improves with each additional price level that we include in the MLOFI vector. Our results underline how order-flow activity deep into the LOB can influence the price-formation process.

Order Cancellations, Fees, and Execution Quality in U.S. Equity Options

2019 ◽  
Vol 33 (4) ◽  
pp. 1534-1564 ◽  
Author(s):  
Todd G Griffith ◽  
Robert A Van Ness
Keyword(s):  
Market Share ◽  
Web Site ◽  
Order Flow ◽  
Options Market ◽  
Limit Order ◽  
Equity Options ◽  
Oxford University ◽  
Limit Orders ◽  
Bid Ask Spreads ◽  
Published Paper

Abstract We examine the effects of an order cancellation fee on limit order flow and execution quality in the PHLX options market. The cancellation fee on professional order flow effectively reduces the rate at which limit orders are canceled. Whereas the cancellation fee discourages the submission of nonmarketable orders, it encourages the submission of marketable orders. Consequently, nonmarketable order fill rates increase; marketable order fill speeds decrease; and bid-ask spreads widen. We also find slight increases in both dollar volume and market share. (JEL G11, G14, G18) Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

1995 ◽  
Vol 50 (5) ◽  
pp. 1655-1689 ◽  
Author(s):  
BRUNO BIAIS ◽  
PIERRE HILLION ◽  
CHESTER SPATT
Keyword(s):  
Empirical Analysis ◽  
Limit Order Book ◽  
Order Book ◽  
Order Flow ◽  
Limit Order ◽  
Paris Bourse
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