How Aggressive Are High‐Frequency Traders?

Abstract We study order aggressiveness of market‐making high‐frequency traders (MM‐HFTs), opportunistic HFTs (Opp‐HFTs), and non‐HFTs. We find that MM‐HFTs follow their own group's previous order submissions more than they follow other traders’ orders. Opp‐HFTs and non‐HFTs tend to split market orders into small portions submitted in sequence. HFTs submit more (less) aggressive orders when the same‐side (opposite‐side) depth is large, and supply liquidity when the bid–ask spread is wide. Thus, HFTs adhere strongly to the tradeoff between waiting cost and the cost of immediate execution. Non‐HFTs care less about this tradeoff, but react somewhat stronger than HFTs to volatility.