Do old limit orders contain information?
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Studies in agricultural futures markets have shown that limit orders carry significant information and contribute to the price discovery process. This means that orders arriving to the exchange contain information coming from different sources. Public information is easily tractable and orders submitted to the exchange after a public announcement presumably contain similar information. However, private information is hard to track and differs across sources. Until recently, it was not possible to identify individual orders and assess their information content. With new data availability, it is now possible to identify and track individual orders throughout their lifespan and further our understanding of the private information carried in limit orders and their role in the price discovery process. The study of the microstructure of the agricultural futures markets has been significantly improved with the advent of order level data with nanosecond precision timestamps. We use the new available dataset for CME corn and soybean futures markets from December 2018 to December 2019 and categorize each event in the life of an order to define the orders’ lifespan. We then calculate the Modified Information Share on a series of age categories from 10 minutes to 80 minutes to study the effect that age has on the contribution to price discovery. We find that younger orders contain more information than older orders, and this effect is persistent beyond 80 minutes. This finding shows that private information is much longer lived than public information.