medium · Market Microstructure hft

What is 'tail latency' and why is it a concern for latency arbitrageurs?

1. The latency added when one trader 'tails,' or copies and follows, the trades of a larger, better-informed investor.
2. The latency measured specifically at the very end of the trading day, during the closing auction or 'tail' of the session.
3. The time it takes for a trade to clear and settle after it has already been executed on the exchange.
4. 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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