easy · Market Microstructure
What is 'tail latency' and why is it a concern for latency arbitrageurs?
- The latency added by 'tailing' or following the trades of a larger investor.
- The latency measured at the very end of the trading day (the 'tail' of the session).
- The time it takes to settle a trade after it has been executed.
- The rare but extreme delays (e.g., 99^th percentile) that can cause an arbitrageur to miss a trade or be picked off.
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