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.Comment: 10 pages, 9 figure
