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
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.