Let's say we have a look at the NASDAQ's limit order book. We do have a bid side and ask side levels.
- Does the limit order book get wiped over night? Meaning everything which is not executed is removed by the end of the trading day?
- Or does it work differently and the limit order book status gets propagated from one trading day to another?
- If we have a look at a trading day and plot executed orders with 5 minutes aggregates, we can see a large increase at the end of each trading day. Is this because intra-day traders are trying to close all of the held positions?