I. Introduction
Most of today’s fast-paced markets are organised as order-driven markets, examples being found among the world’s largest equity exchanges, such as the NASDAQ, the NYSE, Hong Kong, Shanghai, Shenzhen, London and Toronto Stock Exchange, and the Euronext. The order flow is the dynamic sequence of orders submitted by traders in an order-driven market, and is the lever that causes the variation of prices at high-frequency timescales, such as intra-day price variations.