Order Placement Strategies in High-Frequency Markets

Posted: 29 Oct 2019 Last revised: 13 Feb 2020

See all articles by Carole Metais

Carole Metais

University of Strasbourg - LaRGE Research Center (Laboratoire de Recherche en Gestion et Economie)

Date Written: January 30, 2019

Abstract

I analyze order placement strategies by high-frequency traders (HFT) and non-HFT on Euronext Paris. Virtually all orders are limit orders submitted by fast traders, in most cases acting as market makers. Fast traders display high limit to market order ratios and their orders have lower ll rates, higher cancellation rates, and shorter lifetime than non-HFT orders. Liquidity taking orders are less costly for HFT than non-HFT whereas liquidity supplying orders are cheaper for non-HFT than HFT. As volatility rises, the ratio of limit order to market orders increases (decreases) for fast (slow) traders but fast traders become more conservative in their limit order submissions.

Suggested Citation

Metais, Carole, Order Placement Strategies in High-Frequency Markets (January 30, 2019). Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC, Available at SSRN: https://ssrn.com/abstract=3475436 or http://dx.doi.org/10.2139/ssrn.3475436

Carole Metais (Contact Author)

University of Strasbourg - LaRGE Research Center (Laboratoire de Recherche en Gestion et Economie) ( email )

61 Avenue de la ForĂȘt Noire
F-67085 Strasbourg Cedex
France

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