4 ms·
You don't want the information. You want the order, so that you can be the other side of the trade. As long as the order arrival isn't too correlated with price
by evanpw 7y ago
You don't want the information. You want the order, so that you can be the other side of the trade. As long as the order arrival isn't too correlated with price movements, the market maker can buy a little above the bid price and sell a little below the ask price and make some fraction of a cent on each share, on average.