<i>"The ratio of cancellations to trades varies widely by date and by venue, but something like 20/1 is somewhat typical. This gives us a general sense that there is on average a lot of nimble maneuvering of quotes around each trade."</i><p>That's striking. Trades that are cancelled happen in bunches - after a trade completes, there will be orders placed in the next few milliseconds to re-probe the market, then relative quiet.