medium · Market Microstructure hft
An HFT firm co-located at Venue B receives a direct feed from Venue A. At t=0, Venue A updates its ask to $50.02. The SIP (Secolidated Information Plan) updates the NBBO at t=5ms. A non-co-located router at Venue B still sees a stale $50.01 ask at t=2ms.
If the HFT firm buys at Venue B at t=1ms, who is the participant suffering the loss?
- The SIP provider
- The market maker at Venue A
- The HFT firm
- The limit order provider at Venue B
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