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
19 May 2017
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
## Date Time BuyerID SellerID Price Volume Qualifier ## 1: 2013-05-17 11:10:02.115 A B $21.05 100 Passive Buy ## 2: ... ... ... ... ... ... ...
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