The role of the market Maker on Toronto Stock Exchange (TSX) is to augment liquidity, while maintaining the primacy of an order-driven continuous auction market based on price-time priority.

In a quote-driven market, bid-ask spread is composed of order processing costs, stock holding costs and asymmetric information cost.

Then this paper models the measurement of probability of informed trading in an order-driven stock market of China on the basis of stock transaction data.