Limit Order Book Persistence and End-of-Day Volume Spikes
Summary
The document explains why an exchange order book may appear to start each trading day empty even when some orders can remain active across sessions. Order duration depends on the time-in-force instruction: a good-till-cancelled order may persist until execution or cancellation, while other order types expire or apply only at specified events. For market-data processing, a daily ITCH feed can begin with an empty book and resend Add messages for any continuing orders, allowing reconstruction to start without prior-day state.
The discussion also considers the rise in executed volume near the close. It may reflect day traders closing positions, but the answer lists several other contributors, including settlement, hedging, exchange-traded product rebalancing, closing-auction activity, and smart order routers completing scheduled orders. These are explanations rather than a quantified attribution, so the document does not establish how much each source contributes or whether the patterns hold across markets.
Key ideas
- Order persistence depends on the order's time-in-force instruction.
- Good-till-cancelled orders can remain active until execution or cancellation.
- A daily ITCH feed can rebuild the book by resending active orders at the start of the session.
- End-of-day volume can have multiple sources beyond traders closing intraday positions.
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Full text
# Limit order book - does it get wiped over night? # Limit order book - does it get wiped over night? Let's say we have a look at the NASDAQ's limit order book. We do have a bid side and ask side levels. - Does the limit order book get wiped over night? Meaning everything which is not executed is removed by the end of the trading day? - Or does it work differently and the limit order book status gets propagated from one trading day to another? - If we have a look at a trading day and plot executed orders with 5 minutes aggregates, we can see a large increase at the end of each trading day. Is this because intra-day traders are trying to close all of the held positions? ## Answer by rbm (score 7, accepted) https://quant.stackexchange.com/a/38256 Orders stay in order book for as long as you specify, e.g. "good till cancelled" (GTC) will be sitting there until it's executed or you cancel it. There are many types, just google them - IOC, FOK, GTD, at open, at close etc. Many brokers have introduced their own, proprietary types, see e.g. Interactive Broker's list here: https://ibkr.info/video/1037 The "large increase at the end of each trading day. " may be caused by different participants - day trading, people with 'at close' orders, speculators etc. ## Answer by experquisite (score 4) https://quant.stackexchange.com/a/38311 If you are processing ITCH messages, for instance, each day is separate, and starts with an empty book. If there are such things as GTC orders anymore, the ITCH feed would resend their Add messages first thing in the morning, so book building code can start state-free. The end of day volume spike is addressed in literature, but it's caused by settlement processes, hedging, ETP rebalancing, the run-up to the closing auction, algorithmic smart order routers catching up to the end of their orders... lots of things. And also a little bit intraday traders trying to go flat, but honestly I'd think that was a minority of the volume.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.