4 ms·
Show me a backtest with a switching rate this low, on any name you can arb between the NYSE/CME/... and JPX with this 7ms advantage and I would acknowledge this
by hchz 6y ago
Show me a backtest with a switching rate this low, on any name you can arb between the NYSE/CME/... and JPX with this 7ms advantage and I would acknowledge this is implementable if the PnL and vols justify the opportunity cost.
It’s a very cool idea but I’m skeptical that the market structure supports it.