Intraday order placement and execution in a limit order market: Evidence from the Indonesia stock market

Using order and trade information from the Jakarta Stock Exchange (JSX), we examine the intraday patterns of order placement and execution. We find that the probability of an order being executed is the lowest in the first trading hour even though more than 50% of orders are submitted during the period. The execution probability increases steadily along the trading hours and reaches the highest close to the end of trading. Controlling for order aggressiveness and other factors that might impact investors' order placement behavior, we find that orders placed in the morning take longer to be executed compared to those submitted in the afternoon. However, the execution cost is relatively lower for orders of early trading. Our results suggest that choosing the right time to place an order is important in designing an optimal trading strategy.