Alexander Vinsky
Lead Developer and Chief Technical Specialist, Westernpips Group
Alexander Vinsky is Lead Developer and Chief Technical Specialist at Westernpips Group. He works on Westernpips Private 7, the company’s multi-terminal application for comparing fast market data with broker quotes, and on its BackTester, which records every tick from both sources and lets a session be replayed and analysed.
His research focuses on measuring quote latency at retail brokers with stated, reproducible methods: how long a broker’s displayed quote lags a faster reference price, how that interval is distributed, and how much of the opportunity survives a realistic order delay.
Areas of Work
- Latency arbitrage
- Market microstructure
- Quote latency measurement
- High-frequency trading software
- Backtesting on tick data
Publications
How Long Do Stale Quotes Last? Measuring Latency Arbitrage Windows on XAUUSD at Three Retail Brokers
Measures stale-quote windows on XAUUSD at three anonymised retail brokers using paired tick recordings on a single clock. At a 30-point gap, median windows lasted 34 to 56 ms, and the delay at which a simulated order stopped capturing a gross edge ranged from about 40 ms to beyond 150 ms. Results are gross upper bounds on displayed quotes.
Contact
Questions about the research or the method can be sent through the contact page or to [email protected]. See also the Westernpips team.
