Duplicated Orders, Swift Cancellations, and Fast Market Making in Fragmented Markets

• 成果类型: Article
• 署名作者: Degryse, Hans; De Winne, Rudy; Gresse, Carole; Payne, Richard
• 署名单位: KU Leuven; Universite Catholique Louvain; Centre National de la Recherche Scientifique (CNRS)
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2023.01789
• 发表日期: 2026
• 关键词: High-frequency trading; Algorithmic trading; FRAGMENTATION; limit order duplication; order cancellation

摘要

Employing unique data from 91 stocks trading on their primary exchanges and three alternative venues, we show that liquidity suppliers post duplicate limit orders on competing trading venues and cancel the duplicated orders immediately after one of them is filled. This is consistent with liquidity suppliers engaging in crossvenue market making. This duplicated-then-canceled liquidity is predominantly used by high-frequency traders when their inventories are not excessive. It reduces execution costs of fast traders on alternative venues. It, however, has some adverse impact on execution costs on primary exchanges, but those negative effects fail to outweigh the liquidity benefits of market fragmentation.