Limit order revisions

Competition, interlisting and market structure in options trading

“…31 This observation was also privately confirmed to us by the authorities of the Montreal Exchange. 32 The restricted definition of the limit order is further supported by Fong and Liu (2010), who show in a recent study that limit orders near the bid-ask quotes are the ones more likely to be revised and exhibit higher variability throughout the trading day. 33 All pair wise differences are statistically significant at the 1% level.…”

Optimal VWAP trading under noisy conditions

“…This ignores the strategic possibility of waiting for more favourable market conditions or future unexpected news releases (as raised in Fong and Liu, 2010). This conflicts with theoretical predictions that, in markets with high levels of unexpected news, large traders should 'strategically' wait for future news arrival, and this should partially reduce the amount traded in a given trading period (see e.g.…”

We Missed It Again! Why Do So Many Market Orders in High-Frequency FX Trading Fail to be Executed?

“…This indistinctness blurs the behavioral characteristics of limit orders, but not the market orders we focus on in this study. Revisions and cancellations are distinguishable in the data set provided by some stock exchanges, e.g., the Australian Securities Exchange investigated by Fong and Liu (2010). Table 13.1 provides the number of limit (QS and QD) and market orders (HS and HAD) for nine pairs of currencies along with the number of successful market orders.…”

“…In comparison with limit order, market order in the traditional sense is aimed at the counterside best quote and is considered to have an advantage in certainty of execution. Limit order, on the other hand, is associated with "nonexecution risk" and "free-option risk," i.e., a quote left in the market to be hit by a counterside informed trader as discussed in Fong and Liu (2010). Prior to the introduction of algorithmic trading in the FX markets failures of market orders are relatively rare, as shown in Table 13.2 for 2003.…”