  Using the most comprehensive source of commercially available data on the US
National Market System, we analyze all quotes and trades associated with Dow 30
stocks in 2016 from the vantage point of a single and fixed frame of reference.
We find that inefficiencies created in part by the fragmentation of the equity
marketplace are relatively common and persist for longer than what physical
constraints may suggest. Information feeds reported different prices for the
same equity more than 120 million times, with almost 64 million dislocation
segments featuring meaningfully longer duration and higher magnitude. During
this period, roughly 22% of all trades occurred while the SIP and aggregated
direct feeds were dislocated. The current market configuration resulted in a
realized opportunity cost totaling over $160 million when compared with a
single feed, single exchange alternative---a conservative estimate that does
not take into account intra-day offsetting events.
