Share of quotes replaced within 5 ms and 50 ms, by symbol
Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-09-24, from Latency Models in HFT Backtests Explained.
| symbol | replaced_within_5ms_pct | replaced_within_50ms_pct |
|---|---|---|
| SPY | 81.2 | 95.8 |
| AAPL | 77.4 | 88.1 |
| NVDA | 76.6 | 93.4 |
| KO | 72.8 | 83.9 |
| MSFT | 71.4 | 81.9 |
- Rows × columns
- 5 × 3
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
symbol |
text | 5 distinct values (AAPL, KO, MSFT…) | |
replaced_within_5ms_pct |
number | 71.4 to 81.2 | percent |
replaced_within_50ms_pct |
number | 81.9 to 95.8 | percent |
Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
WITH gaps AS
(
SELECT
ticker,
dateDiff('millisecond',
lagInFrame(sip_timestamp) OVER (PARTITION BY ticker ORDER BY sip_timestamp, sequence_number
ROWS BETWEEN 1 PRECEDING AND CURRENT ROW),
sip_timestamp) AS gap_ms
FROM global_markets.cache_stocks_quotes
WHERE ticker IN ('AAPL', 'MSFT', 'NVDA', 'SPY', 'KO')
AND sip_timestamp >= '2026-09-15 14:00:00'
AND sip_timestamp < '2026-09-15 15:00:00'
AND bid_price > 0
AND ask_price > bid_price
)
SELECT
ticker AS symbol,
round(100 * countIf(gap_ms BETWEEN 0 AND 5) / count(), 1) AS replaced_within_5ms_pct,
round(100 * countIf(gap_ms BETWEEN 0 AND 50) / count(), 1) AS replaced_within_50ms_pct
FROM gaps
GROUP BY ticker
ORDER BY replaced_within_5ms_pct DESC
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