Dark pools volumes have increased significantly over the last decade. This has raised concerns on the reliability of reference prices used by these pools, and asymmetric participant outcomes via “latency arbitrage”. Using a novel data set provided by the major UK exchanges and dark pools...

In this paper, we characterise the liquidity provision and price discovery roles of dealers and HFTs in the FX spot market during the sample period between 2012 and 2015. We find that they have different responses to adverse market conditions: HFT liquidity provision is less sensitive to spikes...