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Gone in Sixty Seconds: The Cost of Trading in Long Queues

The maker-taker pricing model, which pays market participants a rebate for providing liquidity, can lead to long queues at the exchanges employing this fee structure. But some participants may be able to get better queue position than others: high-speed traders can buy speed and data advantages in order to join the queue immediately, whereas slower investor orders are relegated to the back of the line. We analyze publicly available Daily TAQ data to estimate the costs of trading near or at the end of a long queue. By using aggregate quoted size at trade time as a proxy for queue priority, we calculate the impact and scale of performance differences associated with trading in long lines, which our results suggest may impose significant costs on investors.