Overview:

1. Liquidity provision over time of HFTs

2. Long-term liquidity provision in a network of trading agents

3. Flurries in trading activity and price changes

• The size of the bid-ask spread

• Transactional costs

• The passive and aggressive sides of a trade

• The size of the bid-ask spread

• Transactional costs

• The passive and aggressive sides of a trade
  • More directly related to the behaviour of the broker
  • Difficult to measure without persistent broker identification or an unfragmented market (which we have)

• All Trades during normal trading hours on the ASX over one year around 2013 (Here we examine a representative subset of 5 high market cap stocks)

##          Date         Time BuyerID SellerID  Price Volume   Qualifier
## 1: 2013-05-17 11:10:02.115       A        B $21.05    100 Passive Buy
## 2:        ...          ...     ...      ...    ...    ...         ...

• Identifiers for the buyer and seller of trades
• Trades are marked with the aggressive/passive agent

• Australian market is relatively unfragmented meaning that this dataset captures an almost complete picture of trading activity

• We follow 8 known proprietary HFTs (De-identified)

Broker A (the smallest of the HFTs) makes liquidity (green) for ~50 days, then takes liquidity (brown) until Day ~160 before exiting the market