Define “Latency Arbitrage” and Its Connection to CLOB Information.
Latency arbitrage is a high-frequency trading strategy where a trader profits from exploiting the tiny time delay (latency) in the transmission or processing of market data between different venues or participants. On a CLOB, a low-latency trader can see a large order and quickly execute a trade on a different venue before the price on the CLOB has time to fully adjust, effectively front-running.
