“…We characterize a broader set of drivers of OTTRs, including fragmentation, monitoring costs, and technological advances, which we argue are the most salient drivers of the growth in OTTRs. Further, we build on studies of cancellations (Nikolsko-Rzhevska, Nikolsko-Rzhevskyy, & Black, 2020;Jain & Jordan, 2017), but we focus on measuring messaging activity overall, as modern market making is manifested through high overall OTTR levels.…”