8 ms·

People who submit last have the most information. You haven't eliminated as much as you thought.

whatshisface 8y ago
You'd have to time it in place-reveal sequences, so all orders received between 12:59 and 1:00 would only be revealed (along with the matches between buy and sell orders) at 1:00.
anigbrowl 8y ago
So fuzz the trades. OPtimizing for precision is just resulting in massive misallocations of capital.
- JumpCrisscross 8y ago
  > fuzz the trades Then I’ll settle over the counter, directly with my counterparties, and disintermediate your marketplace. The misallocation appears to be those looking to introduce complexity to solve a non-issue.
  - coldtea 8y ago
    >Then I’ll settle over the counter, directly with my counterparties, and disintermediate your marketplace Not if that is made illegal. >those looking to introduce complexity to solve a non-issue Because HFT is not a huge complexity in itself?
    - JumpCrisscross 8y ago
      > Not if that is made illegal That would be a massive change to the American securities markets. Enough so that it might destroy them. “You can buy or sell your securities at competing venues” is a basic tent of finance.
    - hueving 8y ago
      Your suggestion is to make it illegal to sell a security at a specific price?
  - anigbrowl 8y ago
    Realistically, you won't because of the transaction costs. Fuzzing doesn't add complexity, it sacrifices precision in favor of robustness. If your trading strategy depends on millisecond timing, it's too fragile for principal-agent applications.
coldtea 8y ago
>People who submit last have the most information Does that hold in a turn base system? Whether they played at the start of the minute or its end, they all knew the results of the last turn when they started bidding. They might have external world info though. Then again, you can always have the trades gathered during the turn period randomised in order and applied that way.
- JumpCrisscross 8y ago
  > Does that hold in a turn base system? Yes. The fastest players will submit as late as possible, thereby integrating the most informaion.
  - munk-a 8y ago
    This is only an issue if later players have knowledge of the action other players are taking during the turn in progress. There would be no market price fluctuations more fine grained than whatever the tick rate of the turn is.
    - deleted 8y ago
      [deleted]
    - JumpCrisscross 8y ago
      > This is only an issue if later players have knowledge of the action other players are taking during the turn in progress You’re assuming full endogeneity. That is never the case. Others’ orders are just one input. Other markets’ books and orders are far more important, particularly for derivatives.
      - coldtea 8y ago
        So, "simply" integrate those "other markets" into the turn based system?
    - hueving 8y ago
      The information many hft players operate on has nothing to do with the market in question.

You'd have to time it in place-reveal sequences, so all orders received between 12:59 and 1:00 would only be revealed (along with the matches between buy and sell orders) at 1:00.

anigbrowl 8y ago

So fuzz the trades. OPtimizing for precision is just resulting in massive misallocations of capital.

JumpCrisscross 8y ago
> fuzz the trades Then I’ll settle over the counter, directly with my counterparties, and disintermediate your marketplace. The misallocation appears to be those looking to introduce complexity to solve a non-issue.
- coldtea 8y ago
  >Then I’ll settle over the counter, directly with my counterparties, and disintermediate your marketplace Not if that is made illegal. >those looking to introduce complexity to solve a non-issue Because HFT is not a huge complexity in itself?
  - JumpCrisscross 8y ago
    > Not if that is made illegal That would be a massive change to the American securities markets. Enough so that it might destroy them. “You can buy or sell your securities at competing venues” is a basic tent of finance.
  - hueving 8y ago
    Your suggestion is to make it illegal to sell a security at a specific price?
- anigbrowl 8y ago
  Realistically, you won't because of the transaction costs. Fuzzing doesn't add complexity, it sacrifices precision in favor of robustness. If your trading strategy depends on millisecond timing, it's too fragile for principal-agent applications.

coldtea 8y ago

>People who submit last have the most information Does that hold in a turn base system? Whether they played at the start of the minute or its end, they all knew the results of the last turn when they started bidding. They might have external world info though. Then again, you can always have the trades gathered during the turn period randomised in order and applied that way.

JumpCrisscross 8y ago
> Does that hold in a turn base system? Yes. The fastest players will submit as late as possible, thereby integrating the most informaion.
- munk-a 8y ago
  This is only an issue if later players have knowledge of the action other players are taking during the turn in progress. There would be no market price fluctuations more fine grained than whatever the tick rate of the turn is.
  - deleted 8y ago
    [deleted]
  - JumpCrisscross 8y ago
    > This is only an issue if later players have knowledge of the action other players are taking during the turn in progress You’re assuming full endogeneity. That is never the case. Others’ orders are just one input. Other markets’ books and orders are far more important, particularly for derivatives.
    - coldtea 8y ago
      So, "simply" integrate those "other markets" into the turn based system?
  - hueving 8y ago
    The information many hft players operate on has nothing to do with the market in question.