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The Case of Fleeting Orders and Flickering Quotes

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  • Markus Ulze
  • Johannes Stadler
  • Andreas W. Rathgeber

Abstract

The literature controversially discusses the ambiguous motives and driving forces behind quickly cancelled limit orders (fleeting orders), which are characteristic of high‐frequency markets. In particular, manipulative and dysfunctional characteristics are feared. We analyze top‐of‐book fleeting orders—so‐called flickering quotes—and show with an ultra‐low latency derivative data set that none of these properties have to be dreaded. On the contrary, flickering quotes are associated with liquid market environments, for example: the prices of “flickering” order books improve by 3.90 % before trades. The results reveal that flickering quotes are likely due to beneficial price discovery processes. Additionally, HFTs might offer their excess positions at a discount to other participants with these orders.

Suggested Citation

  • Markus Ulze & Johannes Stadler & Andreas W. Rathgeber, 2026. "The Case of Fleeting Orders and Flickering Quotes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(4), pages 629-652, April.
    • Handle: RePEc:wly:jfutmk:v:46:y:2026:i:4:p:629-652
    DOI: 10.1002/fut.70076
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    References listed on IDEAS

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    1. Álvaro Cartea & José Penalva, 2012. "Where is the Value in High Frequency Trading?," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 2(03), pages 1-46.
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