Stale Quotes and Adverse Selection
A quote becomes stale when new information changes fair value before the quote can be updated or canceled. Faster counterparties may selectively execute it.
Central questions
- Which observation triggers a quote update?
- What delays exist from observation through cancel effectiveness?
- How does latency affect losses conditionally on being filled?
Planned model
Move an external reference price while injecting market-data, decision, gateway, and venue latency. Show the vulnerability window and resulting fills.