3 ms·
Simplish order types (limit/market, good till cancel, immediate or cancel, etc.) can only do so much. When you place a limit order on a continuous-time market,
by cdetrio 11y ago
Simplish order types (limit/market, good till cancel, immediate or cancel, etc.) can only do so much. When you place a limit order on a continuous-time market, you'll pay exactly your limit price; but on a batch market you'll pay the clearing price (which may be less than your limit price).
The complicated types (hide-n-slide, NBBO pegs, and conditional pegs[1]) may help some players at the expense of others. The only players who wouldn't benefit from batch auctions (according to Budish et. al.) are latency arbitrageurs.
1. https://mechanicalmarkets.wordpress.com/2015/10/05/iex-peg-orders-last-look-for-equity-markets/ https://mechanicalmarkets.wordpress.com/2015/10/05/iex-peg-o...
- kasey_junk 11y ago> you'll pay exactly your limit price Thats not quite true. Price improvement happens all the time on limit orders, but I'll concede you'll pay close to it if it fills. > The complicated types (hide-n-slide, NBBO pegs, and conditional pegs[1]) may help some players at the expense of others. This is true of limit/market/stops as well. The Budish paper is very interesting. What we don't know is what it would do to the spread, which is very important especially given that it will be harder to predict the clearing price. It is also a major change to the markets, virtually impossible to implement and its not clear to me what that risk is buying us, especially given that I fully expect most participants to go through an intermediate first.
- tptacek 11y agoWhat are some circumstances in which you'd get price improvement on a resting limit order?
- kasey_junk 11y agoYou wouldn't on a resting order, but if you hit the other side you will.