3 ms·
I believe the discrepancy comes down to whether you count opposing counterparties indivdually or not. i.e. If 6 trades involve 6 non-HFT/non electronic market-
by gd1 11y ago
I believe the discrepancy comes down to whether you count opposing counterparties indivdually or not. i.e. If 6 trades involve 6 non-HFT/non electronic market-maker (referred to as 'naturals') trading against 6 other naturals, and the other 4 involve naturals trading against resting HFT liquidity, you could either count that by counterparty that is HFT - (4 out of 20 counterparties) = 20%, or the number of trades that involve someone taking HFT liquidty - (4 out of 10 trades) = 40%.
So the 17.7% of HFT counterparties squares roughly with 30%+ HFT trades.