# Regularities and Irregularities in Order Flow Data

## TL;DR

This paper investigates statistical patterns and irregularities in NASDAQ stock order flows, focusing on order placement relative to the orderbook and how it varies across stocks, revealing diverse behaviors and influences.

## Contribution

It provides a detailed analysis of order placement behaviors and their dependence on orderbook dynamics, highlighting differences among stocks and the impact of order placement strategies.

## Key findings

- Limit order placement inside the spread is driven by spread size dynamics.
- Most orders are placed outside the spread, with variations among stocks.
- Market order impact depends on diverse orderbook structures.

## Abstract

We identify and analyze statistical regularities and irregularities in the recent order flow of different NASDAQ stocks, focusing on the positions where orders are placed in the orderbook. This includes limit orders being placed outside of the spread, inside the spread and (effective) market orders. We find that limit order placement inside the spread is strongly determined by the dynamics of the spread size. Most orders, however, arrive outside of the spread. While for some stocks order placement on or next to the quotes is dominating, deeper price levels are more important for other stocks. As market orders are usually adjusted to the quote volume, the impact of market orders depends on the orderbook structure, which we find to be quite diverse among the analyzed stocks as a result of the way limit order placement takes place.