The twelfth Trading InfoSnack: Order Cancellation Patterns looks at CLOB liquidity in Swiss and European equities and identifies order cancellations as a key driver of the order book shape on MTFs and Primary Exchanges. This includes analyzing how order cancellations and different order book imbalance (OBI) states are intertwined.
Furthermore, the Equity experts of SIX Swiss Exchange look at various facets of EBBO Presence on MTFs and Primary Exchanges and at the proportion of unique EBBO events on MTFs that stem from order cancellations on Primary Exchanges – resulting in fascinating observations on flow analytics and market impact.
Insights on Relevant Trading and Market Structure Topics
The Trading InfoSnack articles are insightful research features that provide commentary on market relevant trends, models and microstructure that influence the trading of Swiss securities, underpinned by in-depth analysis from the Equities team of SIX Swiss Exchange.
To trading and market structure professionals with a focus on the EMEA region, the previous Trading InfoSnacks are also of interest: Crumble in the Jungle, The Rule of Three: Analysing the Best Execution Optimisation Problem, Stale Prices and the Price of Being Stale, This Time is Different, Cryptophoria, Last Orders, Size Matters, Liquidity under the Volatility Microscope, Closing Auctions: What’s Hanging in the Balance?, Back to the Future(s) and What’s in a Liquidity Smile?
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