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Average distance the mid price travels over each latency horizon

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.

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Average distance the mid price travels over each latency horizon — 4 rows by 2 columns, computed from US exchange, SIP and OPRA data.
latency_horizonavg_mid_move_bps
0.1 s0.224
0.5 s0.591
1.0 s0.877
5.0 s2.232
Rows × columns
4 × 2
Computed
Completeness
No missing values
Source
US exchange, SIP and OPRA market data
Licence
Strasmore terms · free, no signup
Formats
JSON · CSV · the SQL below

What each column holds

Column definitions for Average distance the mid price travels over each latency horizon, derived from the stored result.
ColumnTypeRangeNotes
latency_horizon text 4 distinct values (0.1 s, 0.5 s, 1.0 s…)
avg_mid_move_bps number 0.224 to 2.232

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 grid AS
(
    SELECT
        intDiv(toUnixTimestamp64Milli(sip_timestamp), 100)                       AS slot,
        argMax((toFloat64(bid_price) + toFloat64(ask_price)) / 2, sip_timestamp) AS mid
    FROM global_markets.cache_stocks_quotes
    WHERE ticker = 'AAPL'
      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
    GROUP BY slot
),
lagged AS
(
    SELECT
        mid,
        lagInFrame(mid, 1)  OVER w AS mid_100ms_ago,
        lagInFrame(mid, 5)  OVER w AS mid_500ms_ago,
        lagInFrame(mid, 10) OVER w AS mid_1s_ago,
        lagInFrame(mid, 50) OVER w AS mid_5s_ago
    FROM grid
    WINDOW w AS (ORDER BY slot ASC ROWS BETWEEN 50 PRECEDING AND CURRENT ROW)
),
moves AS
(
    SELECT *
    FROM lagged
    WHERE mid_100ms_ago > 0 AND mid_500ms_ago > 0 AND mid_1s_ago > 0 AND mid_5s_ago > 0
)
SELECT
    horizon.1                                        AS latency_horizon,
    round(10000 * avg(abs(horizon.2)) / avg(mid), 3) AS avg_mid_move_bps
FROM moves
ARRAY JOIN
[
    ('0.1 s', mid - mid_100ms_ago),
    ('0.5 s', mid - mid_500ms_ago),
    ('1.0 s', mid - mid_1s_ago),
    ('5.0 s', mid - mid_5s_ago)
] AS horizon
GROUP BY latency_horizon
ORDER BY avg_mid_move_bps ASC
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