Interpreting Anonymous and Repeated Orders in an Order Book
Summary
The document considers order-book entries that display price and volume but no visible buyer or seller count, alongside similar-sized bid and ask volumes that remain separated by a spread and refresh frequently. It offers possible explanations rather than identifying the specific orders from the limited description. One answer suggests that, on venues such as NYSE or NASDAQ, an order might be a special order type activated to prevent a trade-through when no order is posted at that price on another venue. It also notes that a consolidated order book or data-feed issue could prevent the platform from counting displayed orders correctly.
Another answer proposes a fill-or-kill order as a possibility: it may seek a full execution at one price, potentially relying on hidden liquidity, and may appear briefly before cancellation. These explanations are hypotheses, not verified diagnoses, and the document does not establish the venue, platform, or data source. The practical lesson is that unusual display and refresh behavior can reflect venue rules, hidden liquidity, or data presentation problems, so order-book observations alone may not reveal the underlying order type.
Key ideas
- An order-book display with missing participant counts may reflect a data-feed or aggregation issue.
- Some venue-specific orders can be designed to prevent trades from skipping a price level across venues.
- A fill-or-kill order seeks execution of its full quantity at the specified price and may disappear if it cannot be filled.
- Repeated equal-sized bid and ask displays do not, by themselves, identify the order type or trader intent.
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Full text
# Where do these Orders come from and what do they mean? # Where do these Orders come from and what do they mean? Good morning! I was looking at an order book yesterday and saw orders which I haven't seen before. Normally an order in the order book consists of the total volume, the price and how many sellers/buyers are ready to buy/sell for this price. Example: 1722 is the volume, 3 is the amount of buyers and 13.80 is the price. Now to the question: The order which I found were strange, had a volume, a price, but no amount of buyers/sellers. The looked like 1722(-) 13.80. What also was very strange was that there was always for example a volume of 4000 on the byers site and the exactly same volume on the sellers site, but they did never hit each other, there was always a spread. A third strange thing was that these orders were updated nearly every 5 seconds, so I think these orders must come from a computer system and not from a human being. Can someone please explain to me what these orders were? I would also appreciate some background information. Thank you in advance. ## Answer by lehalle (score 1) https://quant.stackexchange.com/a/15890 If it was on Nyse or NASDAQ, could be a special order type (only if on first limit: some participants can send orders that are activated only to prevent a "trade through", i.e. if there is no other order at this price on other venues). It may also be your broker did not succeeded into counting the orders on this limit (bug, datafeed, etc), especially if it is a consolidated orderbook. ## Answer by Alexander Didenko (score -2) https://quant.stackexchange.com/a/10082 Some execution platforms or markets have a policy to execute order in full volume at one price (fill-or-kill). You would use it on thin market to ensure low slippage. For example, in your case a buy order for 1000 would be filled by 70% at 14.10, which is 30 cents away from best bid, 25 cents (1.7%) away from midquote, and could be considered as too costly by somebody. So, this somebody submitted fill-o-kill order. He bets on hidden liquidity, when the guy on 14.00 in reality have more than 30 to offer, but shy to advertise it to the market :) Usually this FoK-order would blink for a second and then cancelled automatically. Perhaps, that's the lag in the platform which makes it visible for more than one picosecond. Or yoctosecond. Or whateversmallsecond. Just hypothesis, actually, it might be everything, depending on the market.
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