Journal of Financial and Quantitative Analysis Vol. 61 No. 1 2026

Order Exposure in High-Frequency Markets

Bidisha Chakrabarty¹; Terrence Hendershott²; Samarpan Nawn³; Roberto Pascual⁴

¹ Saint Louis University · ² University of California at Berkeley Haas School of Business · ³ Indian Institute of Management Udaipur · ⁴ University of the Balearic Islands

Abstract

We examine hidden orders usage by algorithmic traders (ATs) and nonATs. ATs extensively use hidden orders but of smaller size than nonATs, who are the primary contributors to hidden volume. ATs’ relative share of hidden volume decreases with volatility, adverse selection costs, and the relative tick-size. Proprietary ATs (HFTs), who differ from agency ATs (AATs) in their information sets and potential gains from trade, hide orders to reduce competition for liquidity provision, whereas AATs use hidden orders to conceal information in their more informed orders and manage picking-off risk. Finally, superior technology provides limited benefit for hidden order execution.

DOI

10.1017/s0022109025101282

Volume

61

Issue

1

Pages

61-98

Language

en

Sources

openalex crossref

Cite

APA 7 MLA 9 Chicago (author–date) Harvard Elsevier Harvard (JFE, JBF…) The Accounting Review Academy of Management American Marketing Association INFORMS (Management Science) Copy citation Copied ✓