Trader types and fleeting orders: Evidence from Taiwan Futures Exchange

This paper investigates the relation between trader type and fleeting order strategy based on unique data from Taiwan Futures Exchange. We find that fleeting orders are more commonly used by institutional traders than individual traders. There exists intraday seasonality of fleeting orders submitted...

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Bibliographic Details
Published in:The journal of futures markets 2018-12, Vol.38 (12), p.1443-1469
Main Authors: Kuo, Wei‐Yu, Lin, Ching‐Ting
Format: Article
Language:English
Subjects:
fleeting order
Futures
network trading
order cancellation
Prices
Stock exchanges
Taiwan futures markets
trader types
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Summary:This paper investigates the relation between trader type and fleeting order strategy based on unique data from Taiwan Futures Exchange. We find that fleeting orders are more commonly used by institutional traders than individual traders. There exists intraday seasonality of fleeting orders submitted by institutional traders. Institutional traders do not chase market prices, but respond to changes in immediate execution costs. Network orders constitute a key component of the fleeting order strategy of proprietary traders. In sum, different types of traders, including individual traders, proprietary traders, and foreign traders, exhibit significantly different behaviors when deploying the fleeting order strategy.
ISSN:0270-7314
1096-9934
DOI:10.1002/fut.21963