Seven Pitfalls That Distort Latency Arbitrage Measurements, and How to Check for Them

Measuring how long a broker's quote lags behind a faster price feed appears simple but is easily skewed by the measurement method itself. The author, testing XAUUSD quotes at three retail brokers, compiled a checklist of common traps that make stale-quote windows seem more frequent, longer, or more profitable than they are. Key issues include clock drift between separately timestamped feeds, one-second snapshots that erase sub-second windows, and comparing mid prices instead of the tradable cross-side spread. A second fast feed showed more windows per hour but also many crossed or zero-spread quotes, so its extra windows were mostly noise. Each pitfall is paired with a concrete check the reader can run on their own data.