Trading under limited pre-trade transparency becomes increasingly popular on financial markets. We provide first evidence on traders' use of (completely) hidden orders which might be placed even inside of the (displayed) bid-ask spread. Employing TotalView-ITCH data on order messages at NASDAQ,...

The complex pattern of the dependence that exists between liquidity, durations and spread in a limit order market is examined. These relationships evolve during the trading day and can change on an hourly basis. Using intraday data for a NASDAQ 100 stock we confirm that limit orders, placed in...