Impact of High-Frequency Trading with an Order Book Imbalance Strategy on Agent-Based Stock Markets

Table 5

Numbers and proportions of NA’s orders and PrOMM’s orders in the order book that matched a new order.

		NA		PMM
Phase 1	Buy orders	365.5	(32.7%)	753.4	(67.3%)
	Sell orders	369.5	(32.9%)	755.4	(67.1%)
Phase 2	Buy orders	6,987.4	(98.9%)	77.3	(1.1%)
	Sell orders	7.9	(6.7%)	109.2	(93.3%)
Phase 3	Buy orders	297.2	(21.2%)	1,105.7	(78.8%)
	Sell orders	4,308.9	(80.2%)	1,063.8	(19.8%)
Phase 4	Buy orders	1,177.8	(32.0%)	2,498.7	(68.0%)
	Sell orders	1,575.9	(38.6%)	2,510.2	(61.4%)