Algorithmic Trading in A-share and Stock Price Informativeness before Earnings Announcements

The dataset includes the daily algorithmic trading indicators for public companies on the Shenzhen Stock Exchange's ChiNext and the Shanghai Stock Exchange's STAR Market from 2017 to 2021. These indicators are: Cancel-to-Trade Ratio (CTR), or the ratio of the daily number of cancellations to the total number of trades; Trade-to-Order Ratio (TOR), or the ratio of daily trading volume to total order volume; Average Trade Size (ATS), or the ratio of total trading volume to the total number of trades. Our date source comes from RESSET high-frequency intraday (minute-level) data.