The Life of U's: Order Revisions on NASDAQ

36 Pages Posted: 7 Dec 2017 Last revised: 27 Feb 2018

See all articles by Olena Nikolsko-Rzhevska

Olena Nikolsko-Rzhevska

University of Memphis - Finance

Alex Nikolsko‐Rzhevskyy

Lehigh University - Business School

Date Written: February 19, 2018


By recovering data on individual revision "U"-messages on NASDAQ, this paper is the first to reconstruct and then examine chains of order revisions. In recent years, revisions have grown in popularity and now are thrice as common as executions. The research on revisions, however, is practically non-existent. We find significant differences between revisions and cancellations/placements as order updating techniques. Our results also show that while traders appear to respond rationally to new information by updating their orders, there exist stable predictable patterns in the behavior of order revisions. Additionally, there is evidence of adverse effects of revisions on market quality.

Keywords: Microstructure; Revisions; Cancellations; Algorithmic trading; NASDAQ; ITCH; Liquidity Provision; Market Quality Flickering Quotes

JEL Classification: G10; G14; G18; G40

Suggested Citation

Nikolsko-Rzhevska, Olena and Nikolsko-Rzhevskyy, Alex, The Life of U's: Order Revisions on NASDAQ (February 19, 2018). Available at SSRN: or

Olena Nikolsko-Rzhevska

University of Memphis - Finance ( email )

United States

Alex Nikolsko-Rzhevskyy (Contact Author)

Lehigh University - Business School ( email )

621 Taylor Street
Bethlehem, PA 18015
United States


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