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Using the most comprehensive, commercially-available dataset of tradingactivity in U.S. equity markets, we catalog and analyze quote dislocationsbetween the SIP National Best Bid and Offer (NBBO) and a synthetic BBOconstructed from direct feeds. We observe a total of over 3.1 billiondislocation segments in the Russell 3000 during trading in 2016, roughly 525per second of trading. However, these dislocations do not occur uniformlythroughout the trading day. We identify a characteristic structure thatfeatures more dislocations near the open and close. Additionally, around 23% ofobserved trades executed during dislocations. These trades may have beenimpacted by stale information, leading to estimated opportunity costs on theorder of $ 2 billion USD. A subset of the constituents of the S&P 500 indexexperience the greatest amount of opportunity cost and appear to driveinefficiencies in other stocks. These results quantify impacts of the physicalstructure of the U.S. National Market System.

Scaling of inefficiencies in the U.S. equity markets: Evidence from three market indices and more than 2900 securities