4 ms·
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
by 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 agoTBH 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.
- URSpider94 9y agoThere always has to be a moment when you lock in the bids, and a non-infinitescimal window before that time when bids are accepted. As long as that window has a start and an end, there will still be traders who write algorithms to deliver their orders at the final microsecond the window is open. 99.999999% of the time, nothing happens. But, in that one case where the articles of impeachment are released just before the window closes, those algos will pay for themselves a billion times over. Separating the last moment when bids are accepted from the time when the auction closes has no practical effect, other than just a simple time delay.