3 ms·

First off a trader with the results of all previous auctions should be able to make some educated estimates about what the auction contains. Secondly prices are

First off a trader with the results of all previous auctions should be able to make some educated estimates about what the auction contains. Secondly prices are formed by incorporating information into the price. Supply and demand information is only one type of information. Say that we have an auction expiring at 10AM. At 9:59:59.500 Goldman's equity research desk announces that it is downgrading a security. Our trader can now in the remaining 500 milliseconds place aggressive asks to take advantage of what is likely to be a downward price movement. Other's in the auction with resting bids are now going to trade into a price that is moving lower. And arguing against colocation will not help here. There will always be traders who are able to place themselves at whatever the closest allowed point, whether inside the exchange or not.

Retric 9y ago
Sure, but this is combined with all other information over that minute/hour. Suppose you had exactly 1 price exchange per day, now yes you might gain incite waiting for that last millisecond, but you have to weigh all other information over the day, approximate it's changes in the price, and then make a bid. Further if the ticks are say every 15 minutes it's easy to not disclose information on a tick boundary. (Simply because of relative time frames.)
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- harryh 9y ago
  Further if the ticks are say every 15 minutes it's easy to not disclose information on a tick boundary. This is not true. Lots of things are happening in the world all of the time. You can't tell everyone to stop what they are doing every 15 minutes and wait for the stock market auction to close.
  - Retric 9y ago
    If ticks are 15 minutes, then 99.9% of all things don't happen in that last 1/2 second. Compared to the current situation where every single piece of news is a race for 1/1,000th of a second head starts. So rather than a race vs time, it's a race to better interpret information. And considering that's basically the point of the stock market in the first place I would call that a net win.
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Retric 9y ago

Sure, but this is combined with all other information over that minute/hour. Suppose you had exactly 1 price exchange per day, now yes you might gain incite waiting for that last millisecond, but you have to weigh all other information over the day, approximate it's changes in the price, and then make a bid. Further if the ticks are say every 15 minutes it's easy to not disclose information on a tick boundary. (Simply because of relative time frames.)

deleted 9y ago
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harryh 9y ago
Further if the ticks are say every 15 minutes it's easy to not disclose information on a tick boundary. This is not true. Lots of things are happening in the world all of the time. You can't tell everyone to stop what they are doing every 15 minutes and wait for the stock market auction to close.
- Retric 9y ago
  If ticks are 15 minutes, then 99.9% of all things don't happen in that last 1/2 second. Compared to the current situation where every single piece of news is a race for 1/1,000th of a second head starts. So rather than a race vs time, it's a race to better interpret information. And considering that's basically the point of the stock market in the first place I would call that a net win.
  - deleted 9y ago
    [deleted]