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NASDAQ order lifetime (Read 2889 times)
-=Marius=-
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NASDAQ order lifetime
09/10/09 at 13:44:51
 
Hello Everybody,

I am currently working on my dissertation on algorithmic trading, and two weeks ago I made an interesting, and also quite puzzling discovery:

Looking at the lifetime of cancelled orders on NASDAQ,  I find extreme peaks in the number of cancelled orders at exactly 0,1 seconds and 0,49 seconds. In other words, the probabilty of an order getting cancelled at those points in time is many times greater than during any other point in the lifetime of a submitted order.

While I have identified flash orders as beeing the reason for the peak at 0,49 seconds, I have been unable to come up with a possible explanation for the extreme increase in the order cancellation density at exactly 0,1 seconds.  This pattern repeats itself across different trading days and as well as across different stocks.

How can that be? While I am sure that algorithms are the cause, why do they all set 0,1 seconds as their favourite cancellation time when submitting orders? After all, there are hundreds of different algorithms available!

Any comments, ideas, suggestions will be greatly appreciated!

Kind regards,

Marius

PS: attached you'll find an example, using the JP Morgan stock. x-axis is time in seconds, y-axis is number of cancelled orders
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