Latency in Electronic Securities Trading: <i>A Proposal for Systematic Measurement</i>

Budimir, Miroslav; Schweickert, Uwe

doi:10.3905/jot.2009.4.3.047

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Cited by 3 publications

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“…This location is often on an ocean floor. Budimir and Schweickert () find that trading activity, time of day, and distance are the main drivers of latency.…”

Section: Key Termsmentioning

confidence: 99%

The Quote Exception Rule: Giving High Frequency Traders an Unintended Advantage

McInish

Upson

2013

Financial Management

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Under the Securities and Exchange Commission (SEC) Rule 611 exchanges that have not matched a new National Best Bid and Offer (NBBO) can trade at the old NBBO for one second. In 2008, this rule allowed fast traders to earn estimated revenues of $233 million at the expense of slow traders. Furthermore, we find that when the NYSE decreased latency by 600 milliseconds on March 10, 2008, execution quality improved markedly for fast liquidity demanders, but improved only minimally for slow liquidity demanders. However, we find a decrease in volume executed at adverse prices under the faster market conditions.

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“…This location is often on an ocean floor. Budimir and Schweickert () find that trading activity, time of day, and distance are the main drivers of latency.…”

Section: Key Termsmentioning

confidence: 99%