Do some traders have an advantage over others… and does it matter?
How fast are equity markets? Or how much of the market operates at high speed? big xyt took an electron microscope to our normalised market data to find out.
We analysed UK lit markets to measure the time between a trade and the last relevant orderbook change.
The FCA established 500μs as a speed benchmark in their latency races paper. This is 200x faster than the 1/10 of a second after the gun in which a sprinter can false start.
Using this benchmark, we found that 25% of turnover is fast trading. Where the period of time between a trade and the last update is < the 500μs boundary.
Is that more or less than you thought? Read the full report here.