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Regularities and Irregularities in Order Flow Data

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  • Martin Theissen
  • Sebastian M. Krause
  • Thomas Guhr

Abstract

We identify and analyze statistical regularities and irregularities in the recent order flow of different NASDAQ stocks, focusing on the positions where orders are placed in the orderbook. This includes limit orders being placed outside of the spread, inside the spread and (effective) market orders. We find that limit order placement inside the spread is strongly determined by the dynamics of the spread size. Most orders, however, arrive outside of the spread. While for some stocks order placement on or next to the quotes is dominating, deeper price levels are more important for other stocks. As market orders are usually adjusted to the quote volume, the impact of market orders depends on the orderbook structure, which we find to be quite diverse among the analyzed stocks as a result of the way limit order placement takes place.

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  • Martin Theissen & Sebastian M. Krause & Thomas Guhr, 2017. "Regularities and Irregularities in Order Flow Data," Papers 1702.04289, arXiv.org.
    • Handle: RePEc:arx:papers:1702.04289
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    Cited by:

    1. Juan C. Henao-Londono & Sebastian M. Krause & Thomas Guhr, 2021. "Price response functions and spread impact in correlated financial markets," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 94(4), pages 1-20, April.

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