Great quote from that paper: "There are some subtleties involved [...] since it takes light roughly 4 milliseconds to travel between Chicago (where ES trades)

Great quote from that paper: "There are some subtleties involved [...] since it takes light roughly 4 milliseconds to travel between Chicago (where ES trades) and New York (where SPY trades), [...] We would also like to suggest that the fact that special relativity plays a role in these calculations is support for frequent batch auctions." (emph added)