You’ll Never Win the Microsecond. Own the Month Instead
A latency arbitrage race on the London Stock Exchange lasts between five and ten millionths of a second. That's the entire event. A signal fires, a handful of firms sprint for the same stale quote, one of them wins, and the whole thing is over before a human being registers that anything happened.
Your reaction time is roughly 250 milliseconds. That's 250,000 microseconds. You're about thirty thousand times too slow to be in that race, and nobody ever invited you.
Matteo Aquilina, Eric Budish and Peter O'Neill got hold of message-level data from the London Stock Exchange — not just the trades that printed, but every order and cancellation, so they could see the losers of each race and not only the winner.
These races happen about once a minute per stock. They account for roughly 20% of all trading volume. Six firms win more than 80% of them.
The...
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