The price does not wait, and the move you see is already old

§1Three shapes of live price movement

Live prices move in three recognisable ways, and confusing them is a common source of bad reasoning.

The drift is time decay, discussed on the market clock. It is smooth, predictable and not an edge. The spike is the market reacting to an event; it is fast, it is over in under a second, and it is where the illusion of the reaction window lives. The settle is the model returning to its own view after the spike, and it is the part that most often catches out someone who took the spike price and believed they had bought value.

The important structural fact is that the spike is not a moment of confusion on the operator's side. It is the repricing happening. The band of opportunity is on their side of the wire, and the price you are shown at the end of it is the settled price rather than the spike.

§2The stale quote, and why it is rarely free money

Every so often a price does not move when it should. The event happens, the market is slow to reprice, and the old price is still on the screen. It looks like free money, and the reasoning behind that impression goes: the price is wrong, so taking it is value.

That reasoning is sometimes correct and mostly a trap, for three reasons. The first is that the window is smaller than your round trip. By the time your bet is submitted and the delay has expired, the reprice has happened, and the bet is priced against the new market either because of the delay rule or because the market suspended. The second is that suspension rules exist for exactly this case: a bet placed after an event the market had not yet priced is the archetypal void. The third is that you cannot distinguish, at the moment of clicking, a market that is slow from a market that is deliberately holding — or from a feed that is wrong about what happened.

§3The price you clicked and the price you got

This is the difference between two numbers, and it is worth being precise about where each one lives. The price you clicked is on your screen at the instant of submission, and it is not stored anywhere authoritative — if you want it, you have to capture it yourself. The price you got is in the bet receipt, and it is the only one that affects anything.

Four things can happen between them. You are accepted at the clicked price. You are offered a worse price and asked to confirm. You are accepted at the new price without being asked. Or you are rejected. Only the first of those is the outcome people imagine when they click.

§4Price-changed dialogs, and what they are telling you

A dialog asking whether you still want the bet at the new price is not an obstacle; it is the product being honest. It exists because the alternative is worse — accepting silently at an unexpected price. It is also free information, if you read it as such.

If you see that dialog often, the market you are betting into is moving fast enough that your clicks are frequently stale. That is a measurement of the relationship between your reaction speed and the market's, and it is the closest thing to evidence that reacting quickly is not working. If you accept the new price every time, you have in practice agreed to pay the market's move, and the market's move is systematically against you, because the price moved in response to information that reached it before it reached you.

The alternatives are to decline and step away, or to stop placing bets whose value depends on being faster than the reprice. Declining costs nothing. The second option costs the format.

§5How to measure your own slippage

The measurement is simple enough that there is no reason not to do it, and almost nobody does, because it is unflattering. For each live bet, record the price that was on screen when you decided, the price in the receipt, and the market you bet into. Then, over a few hundred bets, compute the average difference in implied-percentage terms rather than in price terms, because implied percentages are comparable across different prices.

• Capture the clicked price at the moment of the click. Screenshot, note it down, or read it off the confirmation screen before confirming. Once you move on it is gone.
• Record the accepted price from the receipt. This is the number that matters, and it is the only one the operator stores for you.
• Convert both to implied percentages. A move from 2.00 to 1.95 is 50.0 per cent to 51.3 per cent. That is 1.3 percentage points of implied probability, paid for one click.
• Separate the bets by how fast you reacted. If the slippage is largest on the fastest bets, the format is telling you something about the value of speed.
• Do not turn the measurement into a system. Measuring slippage tells you what the delay costs. It does not create an edge to cover it.

§6Notes

The shapes described above are qualitative and are drawn to show structure rather than data. No particular operator's price history is reproduced, and no timing figure on this page is a measurement of any real market¹.

1. 1The figures on this page illustrate the mechanics of repricing. They are not drawn from any operator, market or event, and they should not be used to estimate how far or how fast a specific market moves.