Markets

How many times accumulated wealth and expectations change hands within a year.

Speed and latency

Human reaction 250 ms, the light floor on this route 4 ms, a chip's decision 1,000 ns. HFT is half of volume; 15 paper barrels of oil per physical barrel.

In Layer 3, value detaches from the physical good and moves at signal speed. Three measures: the latency hierarchy between New York and Chicago, the share of volume traded by high-frequency trading (HFT) per market, and the ratio of traded “paper barrels” of oil to physical production.

The latency hierarchy, New York ↔ Chicago

Route: Great-circle path between New York (Carteret / Mahwah, New Jersey) and Chicago (Aurora, Illinois); the actual sites of the exchange data centres.

Human reaction time250,00 ms

Simple visual reaction time in large population samples runs in the 250-300 ms band. A fixed benchmark next to a machine decision.

Fibre, pre-2010 incumbent routes7,86 ms

One way, New York to Chicago; an indirect fibre path with intermediate repeaters. The price-response latency measured by Laughlin and colleagues in April 2010.

Fibre, Spread Networks route (2010)6,55 ms

Light in glass travels at two thirds of its vacuum speed. Spread Networks trenched a straighter 1,331 km path to bring one-way latency to this level.

Microwave / line-of-sight radio4,09 ms

A tower-to-tower microwave link travels through air at close to vacuum speed; by 2013 it had overtaken fibre. Close to the vacuum bound.

Light in vacuum (great-circle bound)3,93 ms

The 1,178 km great-circle distance divided by the speed of light. The physical floor no signal on this route can beat.

FPGA in-chip decision (tick-to-trade)1.000 ns

Not a transit over the route but a processing latency: the in-chip time between seeing an incoming price and sending an order. On an academic hardware prototype it is of the order of one microsecond; commercial systems are faster today.

HFT's share of volume, per market

The share of volume from high-frequency trading varies by market; in most measurements it clusters around 50%.

Market	Share	Year	Scope
US equities	%50	2014	Share of total consolidated share volume; estimates across studies span the 40-70% band.
European Union equities	%33	2013	Share of value traded; 24% (firm-based) to 43% (HFT-flag) depending on identification method. HFT firms generate 76% of order-book messages.
US Treasuries (interdealer electronic)	%55	2015	Principal trading firms (PTFs) account for more than half of volume in the interdealer electronic Treasury market.
Spot FX (primary electronic venues)	%40	2018	Algorithmic and high-frequency trading reached 60-80% of volume in major pairs on the primary interdealer spot venue (EBS) by 2007; HFT is a subset of that. Higher than in equities.
US futures (major CME contracts)	%67	2014	Share of volume with an automated trading system on at least one side: 49% in agriculture and metals, 62% in energy and equity index, 67% in rates, 80% in FX futures.

Paper barrels / physical barrels

15×traded crude-oil-futures barrels per year, for each physical barrel produced

Human reaction is 250 milliseconds; the physical floor no signal on this route can beat is about 4 milliseconds; a chip's decision time is a thousandth of that. The market is no longer a trading floor where people agree on a price but a race where machines wait on each other.

Layer 3 methodology · §9 →