Analyzing the behavior of prices after the emergence of a difference between the fast and slow prices, we concluded that the behavior of the market after the quotes difference can be twofold. For further description we suggest using the names: impulse and spike. Impulse – the price continuously moving in the direction of difference Spike – the price makes spike and then rolls back to the original value (price before difference)
This phenomenon can be explained by the involved volumes that make the price start to move quickly and by the presence of limit orders capable of stopping or slowing down this movement.
Also, we determined the pattern that occurs before the price motion, and this pattern allows us to determine which one “impulse” or a “spike” we will see soon.
The impulse appears much more often than the spike and so it's not a secret, when using 2-legs (hedge) arbitrage, profits accumulates on the side of a slow broker.
Also, it is necessary to say that at the time of the price difference, slippage occurs in the direction of difference, thereby negatively affecting the cases of the impulse and positive in the case of a spike.