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The effectiveness of liquidity provision by HFT firms is an unexplored but central policy issue. Using unique data consisting of limit order placement, execution, and cancellations, we find that HFT firms do not cancel orders more frequently than non-HFT firms. HFT firms more effectively use order cancellation to strategically manage their limit orders in anticipation of short-term price movements than non-HFT firms. HFT firms increase their liquidity provision during high volatility periods;doi:10.2139/ssrn.2688418 fatcat:k65oqweu4bd5dhdws35jhyrltq