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Depth Characteristics for the Electronic Futures Limit Order Book

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  • Alexandre Aidov
  • Robert T. Daigler

Abstract

Prior literature provides limited information on the depth characteristics of futures markets, especially for U.S. exchanges, due to the lack of historical depth data from floor trading. A proprietary database remedies this problem by providing a five‐deep electronic futures limit order book. Our results show a large amount of depth beyond the best level, as well as more concentrated activity during the day than the night. We document symmetry between the bid and ask sides of the book, although no evidence of equality between the depth levels exists. Most important is that our results often contradict equity depth research. Overall, the structure of the limit order book helps us to understand the depth allocation by active traders in futures markets. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 35:542–560, 2015

Suggested Citation

  • Alexandre Aidov & Robert T. Daigler, 2015. "Depth Characteristics for the Electronic Futures Limit Order Book," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(6), pages 542-560, June.
    • Handle: RePEc:wly:jfutmk:v:35:y:2015:i:6:p:542-560
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    Cited by:

    1. Thomas A. P. de Boer & Cornelis Gardebroek & Joost M. E. Pennings & Andres Trujillo‐Barrera, 2022. "Intraday liquidity in soybean complex futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1189-1211, July.
    2. Mehdi Arzandeh & Julieta Frank, 2019. "Price Discovery in Agricultural Futures Markets: Should We Look beyond the Best Bid‐Ask Spread?," American Journal of Agricultural Economics, John Wiley & Sons, vol. 101(5), pages 1482-1498, October.
    3. Marjolein E. Verhulst & Philippe Debie & Stephan Hageboeck & Joost M. E. Pennings & Cornelis Gardebroek & Axel Naumann & Paul van Leeuwen & Andres A. Trujillo‐Barrera & Lorenzo Moneta, 2021. "When two worlds collide: Using particle physics tools to visualize the limit order book," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1715-1734, November.
    4. Tian, Xiao & Duong, Huu Nhan & Kalev, Petko S., 2019. "Information content of the limit order book for crude oil futures price volatility," Energy Economics, Elsevier, vol. 81(C), pages 584-597.
    5. Arzandeh, Mehdi & Frank, Julieta, 2017. "Price Discovery in Agricultural Futures Markets: Should We Look Beyond the Best Bid-Ask Spread?," Annual Meeting, 2017, June 18-21, Montreal, Canada 259344, Canadian Agricultural Economics Society.

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