Good morning!

I was looking at an order book yesterday and saw orders which I haven't seen before. Normally an order in the order book consists of the total volume, the price and how many sellers/buyers are ready to buy/sell for this price.

Order Book snippet
1722 is the volume, 3 is the amount of buyers and 13.80 is the price.

Now to the question: The order which I found were strange, had a volume, a price, but no amount of buyers/sellers. The looked like 1722(-) 13.80. What also was very strange was that there was always for example a volume of 4000 on the byers site and the exactly same volume on the sellers site, but they did never hit each other, there was always a spread. A third strange thing was that these orders were updated nearly every 5 seconds, so I think these orders must come from a computer system and not from a human being.

Can someone please explain to me what these orders were? I would also appreciate some background information.

Thank you in advance.

  • 1
    $\begingroup$ hidden liquidity? $\endgroup$ Jan 25, 2014 at 8:46
  • $\begingroup$ I think that is exacly what I was looking for. I have never heard of "black pools" before. Thank you! $\endgroup$
    – L.Butz
    Jan 25, 2014 at 8:50
  • 2
    $\begingroup$ Just look at the rules of the exchange. Many I know of have capabilities for hidden limit order liquidity of various types, whether at midpoint (very common) or away from mid. $\endgroup$ Jan 25, 2014 at 9:01
  • $\begingroup$ This question appears to be off-topic because it is about the rules of a specific exchange, not mathematical/computation finance. $\endgroup$ Jan 27, 2014 at 2:51
  • 4
    $\begingroup$ @JoshuaUlrich, I feel this is related to market structure, which is on topic. $\endgroup$
    – John
    Jan 27, 2014 at 16:05

2 Answers 2


If it was on Nyse or NASDAQ, could be a special order type (only if on first limit: some participants can send orders that are activated only to prevent a "trade through", i.e. if there is no other order at this price on other venues).

It may also be your broker did not succeeded into counting the orders on this limit (bug, datafeed, etc), especially if it is a consolidated orderbook.


Some execution platforms or markets have a policy to execute order in full volume at one price (fill-or-kill). You would use it on thin market to ensure low slippage. For example, in your case a buy order for 1000 would be filled by 70% at 14.10, which is 30 cents away from best bid, 25 cents (1.7%) away from midquote, and could be considered as too costly by somebody. So, this somebody submitted fill-o-kill order. He bets on hidden liquidity, when the guy on 14.00 in reality have more than 30 to offer, but shy to advertise it to the market :)

Usually this FoK-order would blink for a second and then cancelled automatically. Perhaps, that's the lag in the platform which makes it visible for more than one picosecond. Or yoctosecond. Or whateversmallsecond.

Just hypothesis, actually, it might be everything, depending on the market.

  • $\begingroup$ Fill-or-kill orders aren't displayed in the limit order book. They're immediately matched, or canceled. $\endgroup$ Jan 28, 2014 at 6:07
  • $\begingroup$ Market orders aren't displayed in the limit order book too, so what we have on the picture above is clearly not standard limit order book. $\endgroup$ Jan 28, 2014 at 9:50
  • $\begingroup$ Could this be the dealer to dealer transactions, broker executed ones on behalf of the client? $\endgroup$ Feb 27, 2014 at 12:40
  • $\begingroup$ this answer is nonsense $\endgroup$
    – Svisstack
    Jan 15, 2015 at 10:34

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