An Analysis Of Order Submissions

More and more trading venues are organized as open limit order markets in which assets are traded during continuous automated auctions.  Unlike in the most prominent of stock markets, the New York Stock Exchange, no role is cast for a dedicated market maker re- sponsible for managing liquidity supply. Whether traders asking for immediate transactions will be able to buy or sell their desired volume without having to bear large price impacts depends solely on the state of the electronic limit order book. The limit order book consists of previously submitted, non executed buy and sell orders with a given price limit which can be viewed as free options written by patient market participants (see Lehmann (2003)). In modern trading systems the state of the limit order book is disclosed (albeit sometimes not entirely) at each point in time.

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