Algorithmic Activity on Xetra

As successful algorithmic trading systems constitute a priceless value to their operators, their procedures of trading are kept secret and only little is known about their adaptation behavior to current market developments. Based on a unique dataset provided by Deutsche Boerse AG the activity of computerized traders is analyzed. As the dataset provides high-precision timestamps a thorough analysis of submission, deletion and execution activities is enabled. Being able to distinguish algorithmic and non-algorithmic orders, empirical evidence on the different structures of algorithmic and non-algorithmic order flow is presented