In this scenario, if the ArcaBook fee gets too high, then customers will simply drop ArcaBook and pick up market data from some other exchange because the limit order books across exchanges are highly correlated.
This includes the so-called depth-of-book data--that is, the bids and offers currently on the limit order book that are not at the best prices.
Almost all of these competing trading venues are electronic limit order books, in which a trader can post a limit order, which is its firm commitment until cancelled, to buy or sell up to a specified number of shares at a quoted price.
(23) More than three-quarters of all trades in the United States are executed on one or another of these electronic limit order book venues.
Instead, his limit order will be posted on the limit order book. Because he is expressing his willingness to buy at $30.49, it becomes a bid for 200 shares at this price.
Designed to maximize access to liquidity and reduce limit fragmentation for all market participants, CreditLink supports request-for-quote and request-for-streaming trading using a centralized limit check (Ping model) and also gives FCMs and their clients the ability to distribute limits directly to specific trading venues or CCPs to minimize latency (Push model), which is important for buyside firms, executing brokers, interdealer brokers, market makers and exchanges using central limit order books
Highfrequency trading is also prominent on US central limit order books, accounting for an estimated 60-70% of activity
We would therefore expect high-frequency participation on central limit order books in Europe to continue to increase, notwithstanding the impact of potential new regulatory initiatives.
Using data on the limit order books and specialists' quotes, Goldstein and Kavajecz examine liquidity provision by limit order traders and floor members during these extreme market movements.
One possible explanation for this is that depth quotes are derived directly from the limit order book, and that limit orders are submitted more cautiously when the market shows informational trading.