Order Exposure in High Frequency Markets

Hidden and Fast Liquidity - Hidden Orders and High-Frequency Trading

“…Empirical studies (between 2012-2015) in the US clearly show the higher share of hidden orders of 27.6% in stocks with lower market capitalisation in comparison to 13% in stocks with the highest market capitalisation (Jain & Jain, 2017). As to what HFTs are concerned, the previously mentioned study performed in the NSE shows a similar behaviour, although the highest share of hidden orders was seen on medium market capitalisation stocks at a 36% level while for the highest market capitalisation stocks, the share of hidden orders submitted by HFT is only at a 10% level -in comparison to the 66% level of hidden orders (Iceberg) submitted by non-HFT (Chakrabarty et al, 2017). A similar behaviour as with market capitalisation may be seen with trade volume, i.e.…”

“…Since 2013, when the volume of hidden orders was around 15% of total volume, these numbers have only risen. Date from the SEC shows an increase in the volume of executed orders from 15% in 2012 to 30% in 2017 (Chakrabarty et al, 2017). The highest volume resulting from hidden orders in the US is estimated to be 45% reached in 2014 in the NYSE MKT (SEC, 2019).…”

“…It is interesting that studies regarding HFT show a quite different behaviour of hidden order book placement, in comparison to non-HFT. The results of such a study in the National Stock Exchange of India (NSE), shows that close to 46% of the hidden orders are placed at or better than market prices in comparison to the 1.5% of visible orders (Chakrabarty et al, 2017). Going further, 97% of hidden orders submitted by HFTs are submitted within 5 ticks of the market prices, while traders not using algorithms place 39.12% of hidden orders away from 5 ticks of the market prices (Chakrabarty et al, 2017).…”

“…The results of such a study in the National Stock Exchange of India (NSE), shows that close to 46% of the hidden orders are placed at or better than market prices in comparison to the 1.5% of visible orders (Chakrabarty et al, 2017). Going further, 97% of hidden orders submitted by HFTs are submitted within 5 ticks of the market prices, while traders not using algorithms place 39.12% of hidden orders away from 5 ticks of the market prices (Chakrabarty et al, 2017). This behaviour may be explained by the liquidity providing competition between HFTs by placing hidden orders at gradually higher/lower prices.…”

Comparison of Contents Design in Mathematical Inquiry in High School Textbooks

“…While, informed traders may add endogenous noise into their orders to confuse back-runners, if the latters' signal about order flow is sufficiently accurate. [4] theoretically proves that randomization is quite likely to happen and a series of empirical works have verified this: Sağlam (2020) [5] illustrates that large traders attempt to engage in encryption strategies; Gu et al (2021) [6] shows that insiders will disguise their orders by splitting; Broggard et al [7] (2022) proves that institutions use multiple brokers to mitigate information leakage; Chakrabarty et al ( 2022) [8] finds evidence that investors employ hidden orders to conceal information.…”