HFT Races Package v1.0

This is the initial release of the code package for researchers who wish to use financial-exchange message data to quantify latency arbitrage and study other aspects of speed-sensitive trading, following Aquilina, Budish and O'Neill (2021). We would be grateful for feedback or comments on the code, and are especially eager to hear from early users. Please address comments, questions, and any other feedback to eric.budish@chicagobooth.edu and hft.races.code.package@gmail.com.