Using a sample of NYSE firms from the first quarter of 2012, we show that the NBBO Depth is negatively affected by quote competition between exchanges and by excess Algorithmic Trading (AT) activity, but positively impacted by volume fragmentation. Trade execution quality also decreases with...

This study examines relations between high frequency trading, order flow toxicity, stock price volatility during normal and high order flow toxicity periods, and predictability of changes in high frequency traders' liquidity supply and demand. By employing Volume-synchronized probability of...