Execution research: Keith Glennan’s October 9 OHLCV study.
Consider this example we constructed: send an order 20 milliseconds before a release. A 10-millisecond journey arrives before it; a 30-millisecond journey arrives after. Send it a second earlier and both arrive beforehand. Those unchanged transit times now occupy a different relationship to the release. A millisecond’s value can depend on when the journey begins.