3 ms·
You seem to be describing a standard, continuous auction. Consider a more discrete time auction, like the opening auction described here: https://uk.advfn.com/H
by osrec 9y ago
You seem to be describing a standard, continuous auction. Consider a more discrete time auction, like the opening auction described here: https://uk.advfn.com/Help/the-opening-auction-68.html https://uk.advfn.com/Help/the-opening-auction-68.html - I'm not saying this format is perfect, but with modification, it may be reasonable
- sseveran 9y agoActually the continuous cross is the special one from strictly the auction design perspective. I am very familiar with discrete auctions and their advantages and drawbacks. It turns out there there are many times to participate in such discrete crosses. Nasdaq for instance runs 3 or 4 every day in addition to the opening and closing crosses. Just remember that from a market structure perspective, the continuous cross is the best for liquidity. All markets for things like derivatives try to move in the direction of a continuous cross over time.