This dataset captures detailed trading activity for Apple Inc. on Nasdaq, documenting all limit orders across ten price levels for both bids and asks, complete with precise nanosecond timestamps.
We use stock exchange message data to quantify the negative aspect of high-frequency trading, known as latency arbitrage. The key difference between message data and widely-familiar limit order book d
This paper examines intra-day patterns of the exchange rate behavior, using the "firm" bid-ask quotes and transactions of USD-JPY and Euro-USD recorded in the electronic broking system of the spot for
