Scholars published a paper on tracking high-frequency trading activities in China and their impact on market quality.

Li Guo, Frank Weikai Li, Ding Qi, and Lijian Sun published a working paper proposing an order-level proxy indicator for high-frequency trading activities in China based on actively exact-matching orders, and verified its effectiveness using data from the Shenzhen Stock Exchange. This indicator is defined as limit orders whose price exactly equals the current best opposing quote. Verification shows that such orders respond faster to quote updates, cancel more quickly, are concentrated when depth imbalance is favorable and spreads are narrow, and can predict mid-quote returns from 100 milliseconds to 10 minutes. The paper adopts a difference-in-differences design that leverages differences in cross-channel order propagation delays at market open, verifying that lower latency increases the proportion of actively exact-matching orders. It also points out that China's T+1 trading constraints, absence of market-making rebate mechanisms, and restrictions on rapid quote revisions make speed advantages more inclined toward directional liquidity extraction.

AI-generated from reports · 2 hr agoUpdated

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