3 ms·
Maybe randomly pick an auction length from like 0.5 to 1.5 seconds each time, so you don't know what batch you're in?
by mkehrt 11y ago
Maybe randomly pick an auction length from like 0.5 to 1.5 seconds each time, so you don't know what batch you're in?
- unabridged 11y agoThere is currently a dark pool using a similar method: "The London Stock Exchange’s Turquoise Midpoint Dark Pool has a service known as Uncross, which matches orders at the midpoint of the bid and offer with auctions held randomly every 5 to 10 seconds." https://blogs.cfainstitute.org/marketintegrity/2014/11/10/are-frequent-batch-auctions-a-solution-to-hft-latency-arbitrage/ https://blogs.cfainstitute.org/marketintegrity/2014/11/10/ar...
- gd1 11y agoWhich is kind of the point. If people think that rolling auctions are better than a CLOB, they are free to set up exchanges that use auctions and see if anybody trades on them. Spoiler: No one will. Or are they arguing that the government should step in and tell people how to trade?