KILLED · latency
Hypothesis
One venue leads price discovery (e.g. the highest-volume perp); its moves predict laggard venues by tens-to-hundreds of milliseconds.
Math
$$ \arg\max_{\ell}\ \mathrm{Corr}\big(r^{\text{lead}}_t,\ r^{\text{lag}}_{t+\ell}\big),\quad \ell>0 $$
Method
Synchronized multi-venue tape, cross-correlation lag estimate, trade laggard on leader move.
Results
| Detected lead | 20–120 ms |
| Latency to act (public API) | 100–400 ms |
| Net edge | none |
The lead exists but is tens of milliseconds — far inside our public-API round-trip. This is a colocation/HFT trade; at our latency the laggard has already caught up. Killed.
A lead measured in milliseconds is only tradeable by someone whose latency is measured in microseconds. Know which game you are in.