medium · Market Microstructure hft
An HFT firm with a low-latency connection to NYSE and BATS observes a large buy trade on NYSE that pushes the local bid/ask from $30.00/$30.02 to $30.05/$30.07. They detect that the stale ask on BATS is still $30.02.
If they successfully buy 10,000 shares on BATS before the quote updates and immediately sell after the BATS midpoint adjusts to $30.06, what is their gross profit from this latency arbitrage?
- $300
- $500
- $200
- $100
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