By adverse-selecting liquidity providers, toxic order flow harms liquidity. We empirically examine which components of modern markets' net flow of orders convey information and signal toxicity. We find that the net flow of non-marketable orders is more informative than the trade-initiator-based...

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. We decompose bid and ask returns into a common ("efficient return") factor and two market-side-specific components...