  We present an empirical study of the intertwined behaviour of members in a
financial market. Exploiting a database where the broker that initiates an
order book event can be identified, we decompose the correlation and response
functions into contributions coming from different market participants and
study how their behaviour is interconnected. We find evidence that (1) brokers
are very heterogeneous in liquidity provision -- some are consistently
liquidity providers while others are consistently liquidity takers. (2) The
behaviour of brokers is strongly conditioned on the actions of {\it other}
brokers. In contrast brokers are only weakly influenced by the impact of their
own previous orders. (3) The total impact of market orders is the result of a
subtle compensation between the same broker pushing the price in one direction
and the liquidity provision of other brokers pushing it in the opposite
direction. These results enforce the picture of market dynamics being the
result of the competition between heterogeneous participants interacting to
form a complicated market ecology.
