Limit order book


Also found in: Acronyms.

Limit order book

A record of unexecuted limit orders maintained by the specialist. These orders are treated equally with other orders in terms of priority of execution.

Limit Order Book

A list of all limit orders for a certain security that were placed by members of the public. The limit order book contains orders that have not yet been filled. The orders, however, are not public; only the book keeper has access to the details of most orders. Market makers and specialists have access only to the highest and lowest orders in order to facilitate trade.
References in periodicals archive ?
Instead, his limit order will be posted on the limit order book.
Javelin SEF, LLC said that it has launched an anonymous Central Limit Order Book for Market Agreed Coupon swaps clearable on both LCH.
Auction markets typically use a centralized trading mechanism, such as a central (or consolidated) limit order book, which permits buyers and sellers to trade with each other directly, without intermediation by dealers (Harris, 2003).
Figure 3 shows a subset of the limit order book at one point during 16 March 2006.
One example of a market of this kind is the New York Stock Exchange (NYSE), which has evolved from a dealer market into a hybrid market where the bulk of trading goes through the limit order book but where dealers (known as specialists) have to set prices if liquidity in the stocks for which they are responsible is too low.
Our evidence of relatively small ex-day price drop ratios are consistent with the TSX ex-day prices being highly influenced by the cure-day limit orders that remain in the limit order book overnight.
But whether Nasdaq, another organization or a "virtual" grassroots group creates the central limit order book remains to be seen, he notes.
About 15 to 20 billion ringgit worth of stock -- held by Singapore's Central Depository as trustee for Singapore-based investors who traded in Malaysian shares via the Stock Exchange of Singapore's Central Limit Order Book (CLOB) -- is barred from being traded on the KLSE, even after the September 30 deadline.
These estimates support both Klemkosky and Conroy's (1985) conclusion that limit orders may be a more effective form of competition than direct dealer competition from regional exchanges or the OTC market and Berkman's (1993) finding that periods with a more active limit order book coincide with narrower market spreads.
Many argue that the NYSE opposes a central limit order book because the specialists are reluctant to give up this form of income.
Although the buy side says they're not ready for what lies ahead, they are asking questions based on hypothetical scenarios covering clearing; costs; test trades; sourcing liquidity; alternative products, managing basis risk; accessing a swap executive facility (SEF);using a central limit order book (CLOB); and whether or not to use their Futures Commission Merchant (FCM) for execution.
Javelin currently offers trade execution for swaps through a combination of an anonymous Limit Order Book and a Request for Quote model.