How long a top of book quote survives, by latency budget
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.
| latency_budget | pct_replaced_within |
|---|---|
| 1 ms | 73.67 |
| 2 ms | 75.13 |
| 5 ms | 77.45 |
| 10 ms | 79.91 |
| 25 ms | 83.36 |
| 50 ms | 88.13 |
| 100 ms | 92.07 |
| 250 ms | 96.87 |
| 1000 ms | 99.93 |
- Rows × columns
- 9 × 2
- 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 |
|---|---|---|---|
latency_budget |
text | 9 distinct values (1 ms, 10 ms, 100 ms…) | |
pct_replaced_within |
number | 73.67 to 99.93 | 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
dateDiff('millisecond',
lagInFrame(sip_timestamp) OVER (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 = '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
)
SELECT
concat(toString(budget_ms), ' ms') AS latency_budget,
round(100 * countIf(gap_ms BETWEEN 0 AND budget_ms) / count(), 2) AS pct_replaced_within
FROM gaps
ARRAY JOIN [1, 2, 5, 10, 25, 50, 100, 250, 1000] AS budget_ms
GROUP BY budget_ms
ORDER BY budget_ms
Work with this data in your AI assistant
Opens ready to query, with this page's data. Free, no account.