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How Much Screening Buys a Second? Speed, Selection, and the Maker's Spread

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Based on a feed excerpt; full article content has not been acquired. Source evidence retrieved 15/10/2026, 13:13:26 UTC.

Briefings

This study analyzes how much liquidity providers need to screen informed flow to match faster venues, using USDC-WETH pools benchmarked against Binance ETH-USDT from June to August 2026. The research finds that the one-second innovation is non-Gaussian with high kurtosis, requiring a screening threshold of 84.5% to 85.2% to match one-second execution from a twelve-second slot. In trending markets, stale pools are executed at significantly lower spreads than in range-bound conditions, and the cost of missed proposer slots grows with elapsed staleness.

Key points

• The one-second benchmark innovation is sharply non-Gaussian, with 73% of seconds showing no price change and excess kurtosis of 154.
• To match a one-second venue, a twelve-second maker must screen at least 84.5% of informed flow, significantly higher than the 71.1% implied by a Gaussian model.

Context and limitations

Data covers only four USDC-WETH pools and a specific six-month period; results may not generalize to other assets or longer timeframes.

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