Chapter 6
Order-driven Markets
Order-driven markets
Most important exchanges are orderdriven markets.
 Most newly organized trading systems are
electronic order-driven markets.
 All order-driven markets use order
precedence rule and trade pricing rule.

Examples of pure order-driven
markets
- Tokyo Stock Exchange,
- KRX (previously KSE, KOSDAQ)
- Paris Bourse,
- Toronto Stock Exchange,
- Most Future Markets,
- Most European Exchanges for equities
(Milan, Barcelona, Madrid, Bilbao,
Zurich,….)
Types of order-driven markets

Oral auctions

Rule-based order matching systems
•
Single price auctions
• Continuous order book auctions
• Crossing networks
In order-driven markets, trading rules specify
how trades are arranged:
- order precedence rules: match buy orders
with sell orders
1. Price priority
2. Time precedence or time priority
trade price rules: determine the trade price
1. Uniform pricing rule (single price auction)
2. Discriminatory pricing rule
-
Oral auctions

Used by many futures, options, and stock
exchanges.
•

The largest example is the US government long
treasury bond futures market (CBOT, 500 floor
traders).
Traders arrange their trades face-to-face on
an exchange trading floor.
•
•
•
•
Cry out bids and offers (offer liquidity)
Listen for bids and offers (take liquidity)
“Take it” = accept offer
“Sold” = accept bid
outcry rule – the first rule of oral
auctions
 Open
•
•
•
Traders must publicly announce their bids
and offers so that all other traders may
react to them (no whispering…).
Traders must also publicly announce that
they accept bids/offers.
Why is this necessary?
 Order
•
Price priority

•
precedence rules
Should a trader be allowed to bid below the best
bid, above the best ask in an oral auction?
Time precedence
Is time precedence maintained for subsequent
orders at the best bid or offer? Why? Why not?
 How can a trader keep his bid or offer “live”?
 The minimum tick size is the price a trader has to
pay to acquire precedence.

•
Public order precedence

Why do you think this is necessary?
 Trade
•
•
pricing rule
Trades take place at the price that is
accepted, i.e., the bid or offer.
Discriminatory pricing rule in oral auction.
 Why do you think it is called
discriminatory?
 Trading
floors
•
Trading floors can be arranged in several
rooms as on the NYSE, with each stock being
traded at a specific “trading post.”
•
Trading floors can also be arranged in “pits” as
in the futures markets.
Rule-based order-matching systems
Used by most exchanges and almost all
ECNs.
 Trading rules arrange trades from the orders
that traders submit to them.
 No face-to-face negotiation.
 Most systems accept only limit orders.

•
Why do you think most systems are reluctant to
accept market orders?
Orders are for a specified size.
 Electronic trading systems process the
orders.
 Trades may take place in a call, or
continuously.
• A new order arrival “activates” the trading
system.
 Systems match orders using order
precedence rules, determine which
matches can trade, and price the resulting
trades.

Order precedence rules
Price
priority
Market orders always rank above limit
orders.
• Limit buy orders with high prices have
priority over limit buy orders with low
prices
• Limit sell orders with low prices have
priority over limit sell orders with high
prices.
•
Time precedence
• Under time precedence, the first order at
a given price has precedence over all
other orders at that price. Gives orders
precedence according to their time of
submission.
• The pure price-time rule uses only price
priority and time precedence.
• Floor time precedence to first order at
price. All subsequent orders at that price
have parity (Oral auction)
 Display
•
Why do markets use display precedence?
 Size
•
precedence
Some markets give precedence to small
orders, other markets favor large orders
(NYSE).
 Public
•
precedence
order precedence
Public orders have precedence over
member orders at a given price.

Trades are arranged by matching the
highest ranking buy orders with the highest
ranking sell orders.

Order precedence rules are used to rank
orders.

Order precedence rules vary across
markets. However, the first rule is almost
always price priority.
Trade pricing rules
Single price auctions use the uniform
pricing rule. Most continuous orderdriven markets use the discriminatory
pricing rule.
Uniform pricing rule

All matched orders are executed at the
same price.

This rule is used for opening markets in
many equities markets, following trading
halts for many continuous markets, and in
the AZX,….
Discriminatory pricing rule

In a continuous market trade takes place
when an incoming order is matched with a
standing limit order.

Under the discriminatory pricing rule, the
trade price is the limit price of the standing
limit order.
Example – Pure price-time
precedence
Time
Trader
Buy/Sell
Size
Price
12:02
Sammy
Sell
100
$20.05
12:06
Steve
Sell
200
$20.06
12:15
Bern
Buy
500
$20.06
12:16
Susie
Sell
300
$20.08
12:20
Ben
Buy
200
Infinite
12:21
Bob
Buy
100
$20.08
12:24
Sandy
Sell
500
$20.12
12:25
Bev
Buy
500
$20.08
12:27
12:27
Bill
Seth
Buy
Sell
200
200
$20.05
$20.10
Example – the order book
Sellers
Buyers
Trader
Sammy
Steve
Size
100
200
Susie
Seth
Sandy
300
200
500
Price
$20.05
$20.06
$20.08
$20.08
$20.10
$20.12
Infinite
Size
200
500
100
500
Trader
Bill
Bern
Bob
Bev
200
Ben
Clearing the order book with a call at 12:30
Sellers
Trader
Sammy
Steve
Susie
Seth
Sandy
Buyers
Size
Price
100 0
$20.05
200 100 0 $20.06
$20.08
300 0
$20.08
200
$20.10
500
$20.12
Infinite
Size
200
500
100
500 200
Trader
Bill
Bern
Bob
Bev
200 0
Ben
Trades in the example - call
Buyer
Seller
Quantity Price?
Ben
Sammy 100
Ben
Steve
100
Bob
Steve
100
Bev
Susie
300
Infinity,
$20.05
Infinity,
$20.06
$20.08,
$20.06
$20.08
Example–the order book after the call
Sellers
Buyers
Trader Size Price
$20.05
$20.06
$20.08
Size
200
500
200
Seth
Sandy
200 $20.10
500 $20.12
Trader
Bill
Bern
Bev
Example - What should be the
price/prices?
Possibilities include:
• Infinite
• $20.05
• $20.06
• $20.08
 The price/prices depends on the trade
pricing rules.

What should be the price/prices?

Single price auctions use the uniform pricing
rule:
•

Continuous two-sided auctions and a few call
markets use the discriminatory pricing rule.
•

Everyone gets the same price.
Trades occur at different prices.
Crossing networks use the derivative pricing
rule.
•
The price is determined by another market.
Uniform pricing rule

All trades take place at the same “market
clearing price.”
• The market clearing price is determined
by the last feasible trade.
 Matching by price priority implies that
this market clearing price is also
feasible for all previously matched
orders.

In Example 1, the last feasible trade is
between Bev and Susie, so the market
clearing price is $20.08.
• Sam, Steve and Susie are happy with a
market clearing price of $20.08 since they
were willing to sell at $20.08 or lower.
• Ben, Bob, and Bev are happy to with a
market clearing price of $20.08 since they
were willing to buy at $20.08 or higher.
 If
the buy and sell orders in the last
feasible trade specify different prices, the
market clearing price can be at either the
price of the buy or the price of the sell
order.
 The trade pricing rules will dictate which
one to use.
Supply and Demand

The single-price auction clears at the
price where supply equals demand.
•
At prices below the market clearing
price, there is excess demand.
•
At prices above the market clearing
price, there is excess supply.

Single price auctions maximize the volume
of trading by setting the price where supply
equals demand.
•
Because prices in most securities markets
are discrete, there is typically excess
demand or excess supply at the market
clearing price.
•
In the Example, what is the excess
demand or supply?

The single price auction also maximizes the
benefits that traders derive from participating
in the auction.
•
Trader surplus for a seller = the difference
between the trade price and the seller’s valuation
•
Trader surplus for a buyer = the difference
between the buyer’s valuation and the trade price.
•
Valuations are unobservable, but we may
assume that they at least are linked to limit prices.
Example: Demand and Supply
$20.13
$20.12
$20.11
$20.10
$20.09
Supply
Demand
$20.08
$20.07
$20.06
$20.05
$20.04
0
300
600
900
1200
1500
Discriminatory Pricing Rule

Continuous two-sided auction markets
maintain an order book.
•
The buy and sell orders are separately
sorted by their precedence.
 The highest bid and the lowest offer are
the best bid and offer respectively.
•
When a new order arrives, the system
tries to match this order with orders on
the other side.
 If a trade is possible, e.g., the limit buy
order is for a price at or above the best
offer, the order is called a marketable
order.
 If a trade is not possible, the order will
be sorted into the book according to its
precedence.
Discriminatory Pricing Rule

Under the discriminatory pricing rule, the
limit price of the standing order dictates the
price for the trade.

If the incoming order fills against multiple
standing orders with different prices, trades
will take place at multiple prices.
Continuous trading @12:02
Sellers
Trader Size
Sammy 100
Buyers
Price
Size
$20.05
$20.06
$20.08
$20.08
$20.10
$20.12
Infinite
Trader
Continuous trading @12:06
Sellers
Trader
Sammy
Steve
Size
100
200
Price
$20.05
$20.06
$20.08
$20.08
$20.10
$20.12
Infinite
Buyers
Size
Trader
Continuous trading @12:15
Sellers
Trader Size
Sammy 100 0
Steve
200 0
Buyers
Price
$20.05
$20.06
$20.08
$20.08
$20.10
$20.12
Infinite
Size
Trader
500 200
Bern
Continuous trading @12:16
Sellers
Buyers
Trader
Size
Price
Sammy
Steve
Susie
100 0
200 0
300
$20.05
$20.06
$20.08
$20.08
$20.10
$20.12
Infinite
Size
Trader
500 200 Bern
Continuous trading @12:20
Sellers
Trader
Sammy
Steve
Susie
Size
100 0
200 0
300 100
Price
$20.05
$20.06
$20.08
$20.08
$20.10
$20.12
Infinite
Buyers
Size
Trader
500 200
Bern
200 0
Ben
Continuous trading @12:21
Sellers
Trader
Sammy
Steve
Susie
Buyers
Size
100 0
200 0
300 100 0
Price
$20.05
$20.06
$20.08
$20.08
$20.10
$20.12
Infinite
Size
Trader
500 200 Bern
100 0
Bob
200 0
Ben
Continuous trading @12:24
Sellers
Trader
Sammy
Steve
Susie
Size
100 0
200 0
300 100 0
Sandy
500
Price
$20.05
$20.06
$20.08
$20.08
$20.10
$20.12
Infinite
Buyers
Size
Trader
500 200 Bern
100 0
Bob
200 0
Ben
Continuous trading @12:25
Sellers
Buyers
Trader
Sammy
Steve
Susie
Size
100 0
200 0
300 100 0
Sandy
500
Price
$20.05
$20.06
$20.08
$20.08
$20.10
$20.12
Infinite
Size
Trader
500 200 Bern
100 0
Bob
500
Bev
200 0
Ben
Continuous trading @12:27
Sellers
Trader
Sammy
Steve
Susie
Size
100 0
200 0
300 100 0
Seth
Sandy
200
500
Price
$20.05
$20.06
$20.08
$20.08
$20.10
$20.12
Infinite
Buyers
Size
200
500 200
100 0
500
Trader
Bill
Bern
Bob
Bev
200 0
Ben
Summary continuous trading
Buyer
Seller
Size
Price
Bid
Offer
$20.05x100
$20.06x100
Bern
Sammy
100
$20.05
Bern
Steve
200
$20.06
$20.06x200
Ben
Bob
Susie
Susie
200
100
$20.06x200
$20.08x300
$20.06x200
$20.08x100
$20.08
$20.08
$20.06x200
$20.06x200
$20.12x500
$20.08x500
$20.12x500
$20.08x500
$20.10x200
Discriminatory vs. uniform pricing rules

Taking the orders as given, large impatient
traders (e.g., liquidity demanders:
marketable limit orders) prefer the
discriminatory pricing rule (to exploit better
price).

Taking the orders as given, standing limit
order traders (liquidity suppliers) prefer the
uniform pricing rule (to maximize surplus).

However, orders are not given.
•
Limit order traders tend to price their orders
more aggressively under the uniform pricing
rule.
• Can you explain this prediction?
• Why would large traders want to split their
orders when trading under the uniform pricing
rule?
• What role can trading halts have in affecting
the pricing rules?
Continuous versus call markets

The single price auction produces a larger
trader surplus than the continuous auction
when processing the same order flow
(example).
• Concentration of order flow increases
total trader surplus.
• In practice, traders will not send the
same order flow to call and continuous
markets.

The single price auction will typically trade a
lower volume than the continuous auction.
•
•

In our example, both trade 600 shares…
See textbook example (Table 6-7 & 6-8)
However, there is another benefit of the
continuous market – it allows traders to trade
when they state their demands.
Additional examples
Example 2: Batch market and surplus
Example 3: Batch and continuous:
Trading volume
Continuous system
In that case orders are arranged as soon as they arrive if
they can be matched with outstanding orders.
At 10:00, Sean submits the first order (a limit buy order with
price 200 for 300 shares). As the book is empty, his order
will have to wait in the order book.
At 10:02, Siobhan submits the second order (a limit sell
order with price 201 for 200 shares). As the maximum
price for the limit buy order is lower than the minimum
price for the limit sell order, those two orders cannot be
matched. As a result, the market is 200 bid for 300, 200
offered at 201. The bid-ask spread is 1.
The derivative pricing rule and
crossing networks

Crossing networks are the only orderdriven markets that are not auction
markets.
• All trades take place at a price
discovered elsewhere.
 Who owns prices discovered in
primary markets?
• Discover how much buy and sell
volume there is at the crossing price.
•
ITG’s POSIT, Instinet’s Global Instinet
Crossing, and the NYSE’s After-hours
Trading Session I.

Second chance at getting the closing
price (4pm)

Crossing networks are call markets to
which traders can submit limit orders
and market orders.
•
Order precedence rules determine
which orders will trade after the
crossing price has been announced.

POSIT runs 8 crosses per day.
•
Choosing a time at random in the 7 minutes
following the crossing time.
 Why do you think they are randomizing the
timing?
• Permits traders to fill their orders at the midquote, without price impact.
• Crosses are completely anonymous and order
imbalances are never disclosed.
 Why do you think this is attractive to traders?

Crossing networks almost invariably
have excess demand or supply.
• Order precedence rules.
• Rationing mechanism.
• Less than 10 percent of their order
volume ever crosses.
• Commissions are reasonable, 12c/share.
Problems with derivative prices

Stale prices and well-informed traders
• Crosses take place with some delay
relative to the reference price.
• Between the trade and the establishment
of the reference price, news might have
been released.
 After-hours trading at Regionals and
ECNs…
• Adverse selection (well-informed traders)

Price manipulation
• Temptation to manipulate the price in
advance of the cross.
• Particularly a problem in less liquid stocks.
 Push prices down (up) if anticipate to
buy (sell) in the cross.
• Illegal, but difficult to detect and
prosecute.
Electronic trading platforms
Centralized order-driven market with
automated order routing.
 Decentralized computer network for
access.
 Member firms act as brokers or principals.
 No designated market makers
 Central limit order book/information
system/clearing and settlement
 Off-book trading is sometimes significant

The (limit order) book
The broker might have other limit orders
besides ours. A collection of unexecuted
limit orders is a “book”.
 The book may have buy and sell orders.
 In US futures pits, each broker may have
his/her own book.
 In many other markets, the book is
consolidated: all unexecuted limit orders
are recorded in one book.

The electronic limit order book
All orders are limit orders.
 The book is electronically visible.
 “Anyone” may enter an order.
 There has to be some established
relationship for clearing and credit purposes.
 The electronic limit order book is probably
the most common form of new market
organization today, but it is far from
universal.

The Island ECN
Island is a limit order market
 Island is an Electronic Communications
Network (ECN)
 It has no trading floor. All orders are sent
electronically.

A likely scenario:
Seller(s), using market orders, took out the
113.25 bid and the 113.00 bid, leaving 112.5 as the
best bid.
On the sell side of the book, sellers realized that
113.375 was unrealistically high. They’re now
offering at a lower price (112.95)
A survey of usage

Some markets have a single consolidated
limit order book, where everything happens.
This is mostly true of the Tokyo Stock Exchange,
Euronext, the Singapore Stock Exchange, the
Taiwan Stock Exchange, etc., etc.

Other markets are fragmented.
There are multiple limit order books in different
physical venues (or computers).

In addition to the Island ECN, there is a
limit order book for IBM at the New York
Stock Exchange, the Boston Stock
Exchange, the Pacific Stock Exchange,
etc., etc.

The largest (deepest) limit order book for
IBM is at the NYSE.
Different markets/different solutions
The pit markets in US futures exchanges do
not have a centralized limit order book.
 The Chicago Board Options Exchange does
have a centralized book (run by a clerk).
 The NYSE has a limit order book, run by
the specialist. (But there are other books in
NYSE-listed stocks on regional exchanges
and other dealers.)
 NASDAQ has multiple books.

Terminology
A centralized limit order book is often
referred to as a “CLOB” (pron. kl.b)
 Hard CLOB: All activity is forced (by law)
through the book.
 Soft CLOB: A CLOB exists, but trades can
take place outside of it.


ECN의 개념 대체거래시스템(Alternative Trading System:
ATS)의 일종으로 ECN(Electronic Communications
Network)은 컴퓨터 네트워크를 활용하여 인터넷을
기반으로 주식을 매매, 거래소시장의 기능을 수행하는
대체증권시장 또는 사이버(온라인) 증권시장입니다.
한국증권시장에서의 ECN이란 “정규의 증권시장 이외의
장소에서 유가증권(주식)의 매매를 중개하는
전자장외증권거래시스템”을 의미합니다.
장외시장의 한 형태로서 자율규제의 기능을 갖는
거래소가 아니므로 증권거래소 또는 증권시장이라는
명칭의 사용이 거래법에 의해 금지된 ECN은
대체거래시스템인 ATS(Alternative Trading System)와
구분되는 개념이기는 하나 국제적으로는 증권시장의
기능을 수행하는 대체증권시장을 ECN 또는 ATS로
혼용하여 사용하고 있습니다.
ECN의 등장배경 - 해외

ECN은 1969년 미국의 Institutional Network사가 전자거래시스템인
Instinet을 설립한 것으로부터 유래하고 있습니다. 초기 Instinet의
설립목적은 기관투자자들이 전자단말기를 통하여 거래소외에서
상호간 주식을 직접거래하기 위한 것이었습니다. Instinet 출범 이후
ECN이 급격하게 성장하게된 계기는 인터넷을 통한 주식거래의
급증과 주문처리규정(Order Handling Rule:OHR)의 제정과 같은
제도적 뒷받침이라고 할 수 있습니다.

기존의 Nasdaq이 호가주도형 딜러시장으로서 마켓메이커에 의한
시장분할 구조문제를 가지고 있었기에, ECN은 이러한 제도적 장치를
통해 Nasdaq 거래량의 약 35.3%(2002년 2월말 기준)를 차지하는
시장으로 성장하였습니다.
ECN의 등장배경 - 국내

1997년 IMF관리체제 이후 경제위기의 방지대책으로서 정부는
경제구조에 대한 전반적인 검토를 하게 되었고, 이에 따른 금융산업
전반의 제도적 개선과 규제완화등이 이루어졌습니다. 그 중에서도
증권시장에 대해서는 2001년 3월 28일 증권거래법 개정을 통하여
시장진입장벽을 완화하고 새로운 형태의 증권거래시스템의 발전을
도모하며 국제간 증권거래의 활성화를 위한 방안으로 ECN제도를
도입하게 되었습니다 (증권거래법 제2조제8항제8호).

ECN제도의 도입이후, 한국 최초의 ECN을 설립하기 위해 국내
유수의 증권사들이 출자한 한국ECN컨설팅㈜가 2001년 6월 1일
설립되었고, 2001년 12월 14일 증권회사로서 금융감독위원회의
허가를 얻어 한국ECN증권㈜로 개명하여, 12월 27일에 역사적인
전자장외증권거래 업무를 시작하게 되었습니다.

Closed on May 28, 2005
임의체결(Random end)방식이란?
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임의체결방식이란 일정한 구간(window, 5분)내에서
고정된 체결시각이 아닌 난수발생에 의해서 임의로
결정된 체결시각에 체결이 한번 발생하는 방식.
임의체결(Random end)방식은 단일가매매시에 발생할 수
있는 허수호가를 효과적으로 방지하기 위하여, 미국, 영국
그리고 독일등의 선진증권시장에서 사용중인 제도.
정확한 체결시점을 투자자가 알지 못함으로써
허수호가의 입력 및 시세조작의 개연성을 미연에 방지할
수 있으며, 5분간의 체결구간 내에서 난수발생을 통해
체결시각을 결정.
체결구간
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1차 체결오후 4시55분~5시00분
2차 체결오후 5시25분~5시30분
3차 체결오후 5시55분~6시00분
4차 체결오후 6시25분~6시30분
5차 체결오후 6시55분~7시00분
6차 체결오후 7시25분~7시30분
7차 체결오후 7시55분~8시00분
8차 체결오후 8시25분~8시30분
9차 체결(장종료)오후 8시55분~9시00분
거래시간은 오후 4시30분부터 장종료시점.
 장종료시점은 임의체결방식의 특성상
일정한 시각에 고정되어 있지 않기 때문에
5분간의 체결구간(오후
8시55분~9시00분)내에서 유동적.
 호가접수는 오후 4시30분부터 시작하며,
첫번째 체결은 오후 4시55분~5시00분
사이에 이루어 집니다.
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체결우선원칙
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시장원칙에 입각하여 가격우선원칙과
시간우선원칙만을 적용.
매도·수 주문간에는 유리한 가격의 주문이
선행하며, 동일한 가격간에는 시간우선원칙이
적용되며 상·하한가인 경우에도 적용.
지정가주문이란 투자자가 종목이나 수량 및
가격을 지정하여 주문을 내는 것으로 지정한 가격
또는 그 가격보다 유리한 가격으로 체결가격이
결정될 때에만 해당주문이 체결이 되는 주문.
지정가주문과 그에 상응하는 정정, 취소주문만이
가능.
ECN 거래대상종목
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현재 거래소의 KOSPI 200 구성종목과
코스닥의 KOSDAQ 50 구성종목-총
250종목-을
거래대상종목으로 하고 있으며, 이들
거래대상종목들 중에서 거래소 및
코스닥에서
거래정지가 된 종목은 제외됩니다.
한국ECN증권㈜의 거래시간 중
투자자보호를 위해서 필요할 경우에는
ECN업무규정
제50조에 의거하여 장중 매매거래정지를
Close of ECN – May 28, 2005
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지난 2001년 개설 추진 당시는 개인
직접투자가 활발한 한국시장의 특성상
활성화되리라는 기대가 컸지만 만성적
거래부진에 시달리며 누적적자가 130억원.
시간외거래
지난 2001년 말 개설된
장외전자거래시장(ECN)이 지난 28일로
문을 닫고 이 업무를 증권선물거래소가
넘겨받아 30일부터 시간외 거래를 오후
6시까지 연장하는 형태로 운영.
기존 ECN시장과 마찬가지로 30분 단위로
체결되는 단일가 매매제도가 적용.
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기존 ECN시장이 원칙적으로 10주 단위
거래인 반면 시간외 거래는 1주씩인 점,
기존 ECN에서는 KOSPI200과 KOSDAQ50
편입종목으로 거래가 제한됐지만 시간외
거래에서는 전 종목 거래가 가능.
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시간은 차이…구조는 비슷=기존 ECN이
오후 4시30분∼9시에 매매가 이뤄졌다면 새
시간외 매매제도는 오후 3시30분∼6시에
매매가 이뤄진다.
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정규시장 종가에서 원칙적으로 ±5%
범위내에서 가격변동을 허용한다는 점과
허수성 호가방지를 위해 '랜덤 엔드'제도를
적용하고 있는 점도 같다.
기존 장외전자거래시장(ECN)의 기능을
흡수하기 위해 도입된 ‘시간외
단일가매매거래’가 기존 거래액의 4배에
이르는 등 급증.
 증권선물거래소가 지난 5월30일 도입한
시간외 단일가매매의 1개월간 실적을
분석한 결과, 시간외 매매의 거래대금은
기존 하루 평균 14억원(ECN)에서
58억원으로 무려 315%가 늘었다.
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거래종목도 종전(하루 평균 기준) 99개에서
413개로 317%가 늘었고, 거래량도
24만주에서 152만주로 529%가 증가.
투자자(계좌 기준)도 하루 1930명에서
5914명으로 늘었으며, 이 가운데 외국인
투자자 비중이 10.8%에 이르는 등 범위도
확대.
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매매가격은 유가증권시장에선 48.9%,
코스닥시장에선 43.1%가 종가로 결정돼,
가격형성도 비교적 안정적인 것으로
나타났다.
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이는 시간외매매시장이 정규시장 종료후
투자자의 거래수요를 수용하고, 거래소의
시장운영에 대한 투자자의 신뢰 증대에서
비롯됐다는 게 거래소측의 설명.
Limit order books: The problem
areas
Electronic limit order books are the
predominant continuous trading
mechanism.
 They do not seem to work well, however, in
all circumstances. These include large
trades, low activity securities and market
breaks (“crashes”)
 In these circumstances, some sort of
active marketmaking presence (a dealer)
seems to be necessary.
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