{"slug":"latency-models-in-hft-backtests","qid":"quote_staleness","label":"quote_staleness","post_title":"latency-models-in-hft-backtests","post_url":"/blog/latency-models-in-hft-backtests#q-quote_staleness","columns":["latency_budget","pct_replaced_within"],"rows":[{"latency_budget":"1 ms","pct_replaced_within":73.67},{"latency_budget":"2 ms","pct_replaced_within":75.13},{"latency_budget":"5 ms","pct_replaced_within":77.45},{"latency_budget":"10 ms","pct_replaced_within":79.91},{"latency_budget":"25 ms","pct_replaced_within":83.36},{"latency_budget":"50 ms","pct_replaced_within":88.13},{"latency_budget":"100 ms","pct_replaced_within":92.07},{"latency_budget":"250 ms","pct_replaced_within":96.87},{"latency_budget":"1000 ms","pct_replaced_within":99.93}],"shape":"ranking","sql":"WITH gaps AS\n(\n    SELECT\n        dateDiff('millisecond',\n                 lagInFrame(sip_timestamp) OVER (ORDER BY sip_timestamp, sequence_number\n                     ROWS BETWEEN 1 PRECEDING AND CURRENT ROW),\n                 sip_timestamp) AS gap_ms\n    FROM global_markets.cache_stocks_quotes\n    WHERE ticker = 'AAPL'\n      AND sip_timestamp >= '2026-09-15 14:00:00'\n      AND sip_timestamp <  '2026-09-15 15:00:00'\n      AND bid_price > 0\n      AND ask_price > bid_price\n)\nSELECT\n    concat(toString(budget_ms), ' ms')                              AS latency_budget,\n    round(100 * countIf(gap_ms BETWEEN 0 AND budget_ms) / count(), 2) AS pct_replaced_within\nFROM gaps\nARRAY JOIN [1, 2, 5, 10, 25, 50, 100, 250, 1000] AS budget_ms\nGROUP BY budget_ms\nORDER BY budget_ms","computed_at":"2026-09-24T15:00:47.680714+00:00","elapsed":0.002955604}