...) may electronically submit for execution an order it represents as agent on behalf of a public custo... (``NBBO'') on the opposite side of the market from the PIXL Order, provided that such price must... not smaller than one cent) better than any limit order on the limit order book on the same side of ...
Most exchanges do not report trade direction thus researchers and traders must deduce whether a trade is buyer or seller initiated since this information is required to evaluate models of bid-ask spread components and to understand the market for immediacy. Algorithms that assign trade direction based on the proximity to bid or ask quotes are easily implemented but ignore information readily discernable from orders, changes in the quoted depth and subsequent price movements. Using the New York Stock Exchange Trades, Orders and Quotes database, systematic biases in existing trade direction algorithms are documented that can be rectified by recognizing that the impact on liquidity is the fundamental characteristic underlying order placement. Although this liquidity-based method is difficu...
...In limit order markets without intervention where each tran...
...: Regulation Nms-Regulation of the National Market System. 242.600 - NMS security designation and de...(i) Permits an incoming order to be marked as immediate-or-cancel;. (ii) Immedia...(iv) Has adopted reasonable standards limiting when its quotations change from automated quotatio...
...(4) Crossing of buy and sell orders shall mean a security transaction in which the sam... thereof the maturity of which is likewise limited, units of a collective investment fund, interests ...(ii) Whether the transaction was a market order, limit order, or subject to special instruct...
...Auctions. Opening and Market Order Auctions--Securities $1.00 and Greater. ... in the Opening or Market Order Auction are Limit Orders, Market Orders and Auction-Only Orders, whi...
...(c) Time-sequenced records of order information in the alternative trading system, inc...(7) The designation of the order as a market order, limit order, stop order, stop limit order, ...
... That constitutes, maintains, or provides a market place or facilities for bringing together purchase... submitting, disseminating, or displaying orders on such alternative trading system, including a cu... any bid or offer quotation, market order, limit order, or other priced order. (f) Control means th...
This article examines whether mean reversion in stock index basis changes is actually induced by arbitrage trading, using intra-day arbitrage trade data. The empirical evidence suggests that arbitrage trading alone cannot account for all of the mean reversion in basis changes, even when infrequent trading is controlled for. This general mean reversion is consistent with mean reversion in liquidity and partial adjustment in the cash market. The behavior of arbitrageurs appears highly competitive. We find that on average the net arbitrage profit is at the competitive level of zero. Furthermore, it is suggested that some mispricing persistence may be related to time-varying liquidity. Accordingly, the results indicate that arbitrageurs pay attention to the depth of the market and value the...
... in the cash market may be induced by limit order traders that do not always respond to change...
...To Amend BATS. Rule 11.9, Entitled ``Orders and Modifiers'' and BATS Rule 11.13,. Entitled ``O... 11.9(c)(11), a Non-Displayed Order is ``a market or limit order that is not displayed on the Exchan...
...To Amend BYX. Rule 11.9, Entitled ``Orders and Modifiers'' and BYX Rule 11.13,. Entitled ``Or... 11.9(c)(11), a Non-Displayed Order is ``a market or limit order that is not displayed on the Exchan...
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