Before revision: We have studied the empirical distribution of cancellation positions through rebuilding the limit-order book using the order flow data of 23 liquid stocks traded on the Shenzhen Stock Exchange in the year 2003.
After revision: Order submission and cancellation are two constituent actions of stock trading behaviors in order-driven markets. Order submission dynamics has been extensively studied for different markets, while order cancellation dynamics is less understood. There are two positions associated with a cancellation, that is, the price level in the limit-order book (LOB) and the position in the queue at each price level. We study the profiles of these two order cancellation positions through rebuilding the limit-order book using the order flow data of 23 liquid stocks traded on the Shenzhen Stock Exchange in the year 2003.