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latency-arbitrage

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ericbudish / HFT-Races

Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill (2021).

python finance r bots trading hft algorithmic-trading order-book limit-order-book financial-exchange stock-exchange exchanges high-frequency-trading sniping market-design latency-arbitrage message-data

Updated Nov 14, 2021
Python

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