  We examine the correlation of the limit price with the order book, when a
limit order comes. We analyzed the Rebuild Order Book of Stock Exchange
Electronic Trading Service, which is the centralized order book market of
London Stock Exchange. As a result, the limit price is broadly distributed
around the best price according to a power-law, and it isn't randomly drawn
from the distribution, but has a strong correlation with the size of cumulative
unexecuted limit orders on the price. It was also found that the limit price,
on the coarse-grained price scale, tends to gather around the price which has a
large size of cumulative unexecuted limit orders.
