Data and methodology guide for the paper “Message Traffic and Short-Term Illiquidity in High-Speed Markets”

This is the data and methodology guide for the paper " Message Traffic and Short-Term Illiquidity in High-Speed Markets", which is published in Emerging Market Review. In this paper, we use detailed message-level data from a high-speed market that flags the orders of high-frequency traders (HFTs), agency algorithmic traders, and non-algorithmic traders to show that only the unexpected part of HFTs’ net buying pressure, computed from the inflow of aggressive and non-aggressive orders, precedes increases in both immediacy costs and price impacts in the short run. Consistent with market-making theories of active risk management, updates of outstanding limit orders relate to preceding efficient price returns and enhance the overall signaling capacity of the HFTs’ order flow. Market-wide HFTs’ net buying pressure adds extra power in anticipating single-stock short-term illiquidity.本指南为发表于《新兴市场评论（Emerging Market Review）》的论文《高速市场中的消息流量与短期非流动性（Message Traffic and Short-Term Illiquidity in High-Speed Markets）》配套的数据与方法论说明。本研究依托某高速市场的精细化订单消息级数据，该数据集标记了高频交易者（High-Frequency Traders，HFTs）、代理算法交易者与非算法交易者的委托单信息。通过分析相关数据，研究证实：仅由主动委托单与被动委托单流入量计算得出的高频交易者净买入压力的非预期部分，会在短期内推升即时性成本与价格冲击。结合主动风险管理的做市理论，未成交限价委托单的更新与前期有效价格收益率存在关联，且能够增强高频交易者委托单流的整体信号传递能力。全市场维度的高频交易者净买入压力，在预测个股短期非流动性方面具备额外的预测效力。