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To: gbh who wrote (14)8/18/1998 5:30:00 PM
From: INFO_DART  Respond to of 48
 
I agree with you that there is a random component. However, there must be systematic factors operating here. Otherwise, the distribution of execution latencies could not be bimodal! There is some reason why there is a valley between the peaks.



To: gbh who wrote (14)8/18/1998 5:34:00 PM
From: INFO_DART  Read Replies (1) | Respond to of 48
 
Its more likely before 10am on fast moving stocks, but its also happened to me mid-afternoon on medium volume stocks.
This is an important observation. Can you also identify situations in which it never occurs? Do you have any ideas as to why it does occur with greater frequency before 10am on fast moving stocks?


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