Research preview

The Iowa Senate race has suddenly become a toss‑up, underscoring how quickly probabilities can shift in a competitive arena. A similar, but far less visible, competition unfolds every microsecond in equity markets, where firms race to capture tiny price differences. Understanding that “arms race” in high‑frequency trading (HFT) helps quantitative traders gauge hidden costs and opportunities in liquidity provision. The Hidden Battlefield: Message Data vs. Order‑Book Data Traditional limit‑order‑book snapshots show the standing offers to buy and sell, but they hide the attempts that fail. Message‑level data record every order submission, amendment, and cancellation, including those that are instantly rejected or out‑priced. This richer view reveals both winners and losers...