Using the most comprehensive source of commercially available data on the US National Market System, we analyze all quotes and trades associated with Dow 30 stocks in 2016 from the vantage point of a single and fixed frame of reference. Contrary to prevailing academic and popular opinion, we find that inefficiencies created in part by the fragmentation of the equity marketplace are widespread and potentially generate substantial profit for agents with superior market access . Information feeds reported different prices for the same equity---violating the commonly-supposed economic behavior of a unified price for an indistinguishable product---more than 120 million times, with "actionable" latency arbitrage opportunities totaling almost 64 million  . During this period, roughly 22\% of all trades occurred while the SIP and aggregated direct feeds were dislocated. The current market configuration resulted in a realized opportunity cost totaling over 160 million when compared with a single feed, single exchange alternative---a conservative estimate that does not take into account intra-day offsetting events.
Using the most comprehensive source of commercially available data on the US National Market System, we analyze all quotes and trades associated with Dow 30 stocks in 2016 from the vantage point of a single and fixed frame of reference. We find that inefficiencies created in part by the fragmentation of the equity marketplace are relatively common and persist for longer than what physical constraints may suggest . Information feeds reported different prices for the same equity more than 120 million times, with almost 64 million dislocation segments featuring meaningfully longer duration and higher magnitude . During this period, roughly 22\% of all trades occurred while the SIP and aggregated direct feeds were dislocated. The current market configuration resulted in a realized opportunity cost totaling over 160 million when compared with a single feed, single exchange alternative---a conservative estimate that does not take into account intra-day offsetting events.
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Contrary to prevailing academic and popular opinion, we
We
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widespread and potentially generate substantial profit for agents with superior market access
relatively common and persist for longer than what physical constraints may suggest
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equity---violating the commonly-supposed economic behavior of a unified price for an indistinguishable product---more
equity more
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"actionable" latency arbitrage opportunities totaling
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dislocation segments featuring meaningfully longer duration and higher magnitude