High-Frequency Trading and Latency Arbitrage › Key Parameters
Michael BrenndoerferJanuary 1, 20261 min read
Quantitative FinanceAll chapters Part 12 of 15Market Making and High-Frequency Trading
High-Frequency Trading and Latency Arbitrage › Key ParametersOne section · Sections in this chapter14 / 18 ↓
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The key parameters for order-to-trade ratio analysis are:
- orders_submitted: Total number of orders sent to the market, including both executed and canceled orders.
- orders_executed: Number of orders that resulted in trades, a subset of submitted orders.
- cancel_rate: Fraction of orders canceled before execution (0 to 1), where high values may indicate quote stuffing.
- order_to_trade_ratio: Ratio of submitted orders to executed trades, a common metric for regulatory monitoring.
- regulatory_threshold: Cancel rate threshold triggering regulatory scrutiny (typically 0.90), which varies by jurisdiction.