5 ms·

Hint: If you can't see the orders during that minute, it doesn't matter when you submit...

• harryh 9y ago
  Might other things be happening in the world besides orders on a single exchange?
  • orclev 9y ago
    It seems like that would only matter if you assume that a bid can't be canceled or changed. Assuming you're free to cancel or modify a bid right up until the close, whether you put the bid in at the start of the window or the close of the window wouldn't matter as you could always modify or cancel the bid as new information comes in.
    • harryh 9y ago
      If you can always modify or cancel a bid then people will compete to see who can ingest information the fastest and update all of their bids as close to the auction time as possible.
      • princeb 9y ago
        even if you can't modify or cancel a bid people will still compete on speed and submit their one (and only) order as close to the auction time as possible. i have no idea what he's trying to come up with. there's no need to belabour the point plenty here have tried to show that the power of information (of all kinds: central bank actions, Donald Trump's tweets, corporate filing, obituaries, declaration of war, natural disasters, etc) and the ability to push order submission to the last moment is going to be king. the only way i can imagine one would nullify the value of information is to assign every participant of the market a random price on their trade that has no correlation to the value of the asset that they are trying to buy or sell.
• sseveran 9y ago
  Of course it does. A trader (not an investor) is incentivized to wait to the last possible moment when he can still expect a fill. This is why exchanges disseminate auction imbalance information, to attract people to the auction prior to its completion.
  • orclev 9y ago
    In what way is he incentivized? What advantage does he get from waiting till the last possible moment? He has no clue what the current bids are, so whether he bids at the start or the end he still has exactly as much information. He'll have more information after the bidding closes and the winner is announced of course, but by then it's too late, only thing he can do then is participate in the next round of bidding, but that puts him right back in the situation he was in before where until the close the only thing he knows is what the previous winning bid was.
    • harryh 9y ago
      There are lots of other forms of information in the world other than the orders in a closed auction. Serious question: Why do people always forget this? This comes up ALL THE TIME when people talk about quantized auction times.
      • osrec 9y ago
        Your definition of a quantised auction is a bit different to mine. In my definition, you submit at the start and get an outcome at the end. You have no ability to modify the contents of the auction during the auction itself. I feel what you're describing is still a continuous auction... I mean if you can continually modify your order, or indeed submit at different times, at which point in time do you do your matching?
        • harryh 9y ago
          TBH I don't really understand what you are trying to say, but if you submit at "the start" and that is a single moment in time then participants have every incentive to wait until the last possible microsecond before that moment to determine their bids/asks.