Us Equities, Algorithmic Trading, AWS, Microstructure, Latency.
price changes = 148ms; median 10ms). For IWM, this number is ~0.6% (the average gap between NBBO price changes = 169ms; median 22ms). For most stocks, the number of such milliseconds is actually much lower, and the average across all stocks that we traded in 2021, other than SPY/IWM, is only 0.03%