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Depth Characteristics for the Electronic Futures Limit Order Book

Alexandre Aidov and Robert T. Daigler

Journal of Futures Markets, 2015, vol. 35, issue 6, 542-560

Abstract: Prior literature provides limited information on the depth characteristics of futures markets, especially for U.S. exchanges, due to the lack of historical depth data from floor trading. A proprietary database remedies this problem by providing a five‐deep electronic futures limit order book. Our results show a large amount of depth beyond the best level, as well as more concentrated activity during the day than the night. We document symmetry between the bid and ask sides of the book, although no evidence of equality between the depth levels exists. Most important is that our results often contradict equity depth research. Overall, the structure of the limit order book helps us to understand the depth allocation by active traders in futures markets. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:542–560, 2015

Date: 2015
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