How Rigged Are Stock Markets? Evidence from Microsecond Timestamps

63 Pages Posted: 21 Jul 2016 Last revised: 20 Mar 2020

See all articles by Robert P. Bartlett

Robert P. Bartlett

Stanford Law School

Justin McCrary

Columbia University - Law School; National Bureau of Economic Research (NBER)

Multiple version iconThere are 2 versions of this paper

Date Written: May 1, 2019


Using new data from the two U.S. securities information processors (SIPs) between August 6, 2015 and June 30, 2016, we examine claims that high-frequency trading (HFT) firms use direct feeds to exploit traders who rely on SIP prices. Across $3.7 trillion of trades, the SIPs report quote updates from exchanges 1,128 microseconds after they occur. However, the SIP-reported National Best Bid and Offer (NBBO) matches the NBBO calculated without reporting latencies in 97% of all SIP-priced trades. Liquidity-taking orders gain on average $0.0002/share when priced at the SIP-reported NBBO rather than the instantaneous NBBO, but aggregate gross profits are just $14.4 million. These findings indicate that direct feed arbitrage is not a meaningful source of HFT profits, nor can it explain the arms race for trading speed.

Statement of Financial Disclosure and Conflict of Interest: Neither author has any financial interest or affiliation (including research funding) with any commercial organization that has a financial interest in the findings of this paper. The authors are grateful to the University of California, Berkeley School of Law, for providing general faculty research support.

Keywords: latency arbitrage, high-frequency trading, SIP, market structure

JEL Classification: G10, G15, G18, G23, G28, K22

Suggested Citation

Bartlett, Robert P. and McCrary, Justin, How Rigged Are Stock Markets? Evidence from Microsecond Timestamps (May 1, 2019). UC Berkeley Public Law Research Paper No. 2812123, Journal of Financial Markets 45: 37-60 (2019), Available at SSRN: or

Robert P. Bartlett (Contact Author)

Stanford Law School

559 Nathan Abbott Way
Stanford, CA 94305-8610
United States

Justin McCrary

Columbia University - Law School ( email )

435 West 116th Street
New York, NY 10025
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Abstract Views
PlumX Metrics