5 ms·
What would happen if you split the tick interval to three 30 second intervals, where during the first interval new orders are collected in private, the second s
by a-dub 11y ago
What would happen if you split the tick interval to three 30 second intervals, where during the first interval new orders are collected in private, the second serves as a 30 second waiting period, and at the third all previously private orders and matches/trades are made public and broadcast?
So collect (30s) -> wait (30s) -> broadcast (30s) -> collect...
- msravi 11y agoWhy 30s? Why not 10s? Or 1hr? Or 1day?
- a-dub 11y agoSure. The point is that t >> worst case synchronization latency.
- PakG1 11y agoSo what you're saying is that traders should play Diplomacy....
- jplewicke 11y agoOne of the better proposals to fix whatever market structure issues we have is to move to "frequent batch auctions", in which a micro-auction would occur every 30 seconds or minute, which would amount to a similar thing. I'm not aware of any research that discusses whether such a system would be workable in the presence of the existing continuous trading market.
- harryh 11y agoThere is research on this. It won't work the way you hope. Here is the problem: What happens if in a single batch you have more buy orders than sell orders at a given price (or vice versa)?
- a-dub 11y agoOne side eats up all the liquidity on the other side and the price moves appropriately in the next tick? It would clearly have to be separate from the high frequency discrete market. (c'mon, don't call it continuous!)
- harryh 11y agoOn the side where all the orders aren't filled how do you decide who gets filled and who doesn't?
- a-dub 11y agoAt equal prices, random selection. Anything else seems like it could be games. Could lead to some funny movements though. Value aliasing! : )
- kasey_junk 11y agoIf you think time priority orders are viewed as unfair, think what random matching would mean. It would mean that you could put in an order 6 months ago and watch it repeatedly never get filled as your price point was hit over and over again.
- harryh 11y agoSo lets say at tick one 1 see that only 50% of the buy orders were filled. At tick 2 I want to buy 100 shares. But maybe I'll guess that only 50% will be filled this tick too, so maybe I should submit a buy order for 200 shares instead? This kind of game playing can lead to highly unstable outcomes.
- deleted 11y ago[deleted]