3 ms·

Nuclear reactors are planned in a way that their response time is in human scale e.g. they take something like 20 seconds to increase or decrease activity. This

by epx 11y ago

Nuclear reactors are planned in a way that their response time is in human scale e.g. they take something like 20 seconds to increase or decrease activity. This leaves room for human intervention. IMHO markets should do something similar: create something like 30-second barriers for trades. Trades that cross the bid/ask are carried out. Trades submitted cannot be canceled until the next 30s cycle. Trades outside of the range (bid too low/ask too high) stay open. The open trade book is sent to everybody every 30s. Allowing µs-range trades (and particularly adding and removing bids and asks so fast) is asking for trouble, it is obvious that at some point of time two or three HFT robots will react on each other's trades and do something veeeeery stupid.

tptacek 11y ago
Even people who support quantized markets don't propose markets running on human timescales. Meanwhile, if you're the kind of trader that is impacted by trade latency (read: a competitive market maker or decently well capitalized prop trading firm), there are already venues you can trade in that are quantized. The problem is that nobody wants to trade in them.
- fiatmoney 11y ago
  Actually there have been several proposals for exchanges to work via, eg, every-N-seconds Dutch auctions.
- cdetrio 11y ago
  Not sure what you mean by "quantized market" (discrete-time auction?). But the opening and closing sessions at the NYSE run at human timescales (twice per day), and most of the daily volume is traded at open and close iirc. edit: "Across Wall Street, less trading is taking place at 3 p.m. or, in fact, most any time but the opening minutes and the final half hour." http://www.wsj.com/articles/traders-pile-in-at-the-close-1432768080 http://www.wsj.com/articles/traders-pile-in-at-the-close-143...
clarkmoody 11y ago
The thing about many of our markets today is that they are international, with different rules in each jurisdiction. Supposing you implemented this system in the entire US, the HFT firms would simply shift their efforts to trading venues where order books are not quantized. Then they would take the real-time information and take advantage of the US exchanges. Think about the billions (trillions?) of trades that occur on minescule timescales now and how often we have flash crashes. Sure, HFT algos interact with one another constantly, but flash crash investigations have uncovered both human (manual entry) and algo error as their root causes. Part of what makes flash crashes more severe is when HFT safety protocols kick in and they remove their orders from the market, causing liquidity to dry up and exacerbate the crash.

by epx 11y ago

tptacek 11y ago

Even people who support quantized markets don't propose markets running on human timescales. Meanwhile, if you're the kind of trader that is impacted by trade latency (read: a competitive market maker or decently well capitalized prop trading firm), there are already venues you can trade in that are quantized. The problem is that nobody wants to trade in them.

fiatmoney 11y ago
Actually there have been several proposals for exchanges to work via, eg, every-N-seconds Dutch auctions.
cdetrio 11y ago
Not sure what you mean by "quantized market" (discrete-time auction?). But the opening and closing sessions at the NYSE run at human timescales (twice per day), and most of the daily volume is traded at open and close iirc. edit: "Across Wall Street, less trading is taking place at 3 p.m. or, in fact, most any time but the opening minutes and the final half hour." http://www.wsj.com/articles/traders-pile-in-at-the-close-1432768080 http://www.wsj.com/articles/traders-pile-in-at-the-close-143...

clarkmoody 11y ago

The thing about many of our markets today is that they are international, with different rules in each jurisdiction. Supposing you implemented this system in the entire US, the HFT firms would simply shift their efforts to trading venues where order books are not quantized. Then they would take the real-time information and take advantage of the US exchanges. Think about the billions (trillions?) of trades that occur on minescule timescales now and how often we have flash crashes. Sure, HFT algos interact with one another constantly, but flash crash investigations have uncovered both human (manual entry) and algo error as their root causes. Part of what makes flash crashes more severe is when HFT safety protocols kick in and they remove their orders from the market, causing liquidity to dry up and exacerbate the crash.