  Microstructure of market dynamics is studied through analysis of tick price
data. Linear trend is introduced as a tool for such analysis. Trend arbitrage
inequality is developed and tested. The inequality sets limiting relationship
between trend, bid-ask spread, market reaction and average update frequency of
price information. Average time of market reaction is measured from market
data. This parameter is interpreted as a constant value of the stock exchange
and is attributed to the latency of exchange reaction to actions of traders.
This latency and cost of trade are shown to be the main limit of bid-ask
spread. Data analysis also suggests some relationships between trend, bid-ask
spread and average frequency of price update process.
