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Using the most comprehensive source of commercially available data on the USNational Market System, we analyze all quotes and trades associated with Dow 30stocks in 2016 from the vantage point of a single and fixed frame of reference.We find that inefficiencies created in part by the fragmentation of the equitymarketplace are relatively common and persist for longer than what physicalconstraints may suggest. Information feeds reported different prices for thesame equity more than 120 million times, with almost 64 million dislocationsegments featuring meaningfully longer duration and higher magnitude. Duringthis period, roughly 22% of all trades occurred while the SIP and aggregateddirect feeds were dislocated. The current market configuration resulted in arealized opportunity cost totaling over $160 million when compared with asingle feed, single exchange alternative---a conservative estimate that doesnot take into account intra-day offsetting events.

Fragmentation and inefficiencies in US equity markets: Evidence from the Dow 30