5 ms·

Most exchanges have an auction process that sets opening and closing prices. They let everyone get their orders in and then run an algorithm to find the price t

Most exchanges have an auction process that sets opening and closing prices. They let everyone get their orders in and then run an algorithm to find the price that will execute the most volume. They could do the same process every 5 minutes and only allow stocks to trade in the auction. Then all of the resources used on pointless HFT could be used on something economically productive.

compsciphd 7y ago
even every 1s. If we can do auctions for web ads, we can do auctions for the stock exchange.
- nickles 7y ago
  > even every 1s. If we can do auctions for web ads, we can do auctions for the stock exchange. There was ~$107 billion in online advertising in 2018. There was ~$145 billion traded in Nasdaq listed equities yesterday. Global financial markets and online advertising have different requirements. [0] https://www.marketingcharts.com/advertising-trends/spending-and-spenders-108416 https://www.marketingcharts.com/advertising-trends/spending-... [1] http://www.nasdaqtrader.com/Trader.aspx?id=DailyMarketSummary http://www.nasdaqtrader.com/Trader.aspx?id=DailyMarketSummar...
  - dlhavema 7y ago
    How is the 145 billion calculated? If I buy and sell with a 100$ 100 times does that count as $10,000 or $100?
    - dmoy 7y ago
      The number quoted is total volume, so it would be $10k
  - buzzdenver 7y ago
    > There was ~$107 billion in online advertising in 2018. There was ~$145 billion traded in Nasdaq listed equities yesterday. That is a pointless comparison. That $107b was all revenue for somebody (Google, Facebook, etc), while the $145b was just the nominal value of shares traded. (edited typo)
    - nickles 7y ago
      > That is a pointless comparison. I was highlighting the difference between online advertising and financial markets. They operate at different scales. > That $107b was all revenue for somebody (Google, Facebook, etc), while the $145b was just the nominal value of shares traded. These are cash instruments, not derivatives, so that is indeed $145b of cash changing hands each day.
      - huac 7y ago
        not necessarily, money has velocity; market participants don't have $145B to spend, they spend a fraction of that and then reconcile balances at the end of the day. see https://en.wikipedia.org/wiki/Clearing_(finance) https://en.wikipedia.org/wiki/Clearing_(finance)
      - kasey_junk 7y ago
        I’ve worked in both. For the purpose of the earlier conversation, the auctions for ad exchanges happen at about 1 order of magnitude more than for exchange tradable symbols. That is to say there is no tech reason that financial exchanges couldn’t run auctions. Aside: personally I think that continuous exchanges are great & people who have problems with them usually don’t know what they are talking about.
ng12 7y ago
Preventing HFT would mean exchanges make less money, meaning they'd either have to charge more or find a new way to subsidize market activity. It's akin to how Robinhood sells data to trading firms to subsidize trades for long-term retail investors. "Economically productive" isn't always black and white.
esoterica 7y ago
Most exchange open/close auctions use time priority to deal with order imbalances. If there are buy orders for 300 shares and sell orders for 500 at the same price, then only first 300 shares on the sell side will be filled. The speed incentive is a consequence of time priority, not the auction frequency. Switching from continuous auctions to open/close style auctions every 5 minutes would not remove the incentive to be fast.
tikkabhuna 7y ago
You're talking about a "Periodic Auction" market, Cboe have one[1]. Another alternative is "Auction on Demand"[1]. MiFID 2 regulation was a real push to move people away from using dark pools. 0 - https://markets.cboe.com/europe/equities/trading/periodic_auctions_book/ https://markets.cboe.com/europe/equities/trading/periodic_au... 1 - https://business.nasdaq.com/auction-on-demand/index.html https://business.nasdaq.com/auction-on-demand/index.html

compsciphd 7y ago

even every 1s. If we can do auctions for web ads, we can do auctions for the stock exchange.

nickles 7y ago
> even every 1s. If we can do auctions for web ads, we can do auctions for the stock exchange. There was ~$107 billion in online advertising in 2018. There was ~$145 billion traded in Nasdaq listed equities yesterday. Global financial markets and online advertising have different requirements. [0] https://www.marketingcharts.com/advertising-trends/spending-and-spenders-108416 https://www.marketingcharts.com/advertising-trends/spending-... [1] http://www.nasdaqtrader.com/Trader.aspx?id=DailyMarketSummary http://www.nasdaqtrader.com/Trader.aspx?id=DailyMarketSummar...
- dlhavema 7y ago
  How is the 145 billion calculated? If I buy and sell with a 100$ 100 times does that count as $10,000 or $100?
  - dmoy 7y ago
    The number quoted is total volume, so it would be $10k
- buzzdenver 7y ago
  > There was ~$107 billion in online advertising in 2018. There was ~$145 billion traded in Nasdaq listed equities yesterday. That is a pointless comparison. That $107b was all revenue for somebody (Google, Facebook, etc), while the $145b was just the nominal value of shares traded. (edited typo)
  - nickles 7y ago
    > That is a pointless comparison. I was highlighting the difference between online advertising and financial markets. They operate at different scales. > That $107b was all revenue for somebody (Google, Facebook, etc), while the $145b was just the nominal value of shares traded. These are cash instruments, not derivatives, so that is indeed $145b of cash changing hands each day.
    - huac 7y ago
      not necessarily, money has velocity; market participants don't have $145B to spend, they spend a fraction of that and then reconcile balances at the end of the day. see https://en.wikipedia.org/wiki/Clearing_(finance) https://en.wikipedia.org/wiki/Clearing_(finance)
    - kasey_junk 7y ago
      I’ve worked in both. For the purpose of the earlier conversation, the auctions for ad exchanges happen at about 1 order of magnitude more than for exchange tradable symbols. That is to say there is no tech reason that financial exchanges couldn’t run auctions. Aside: personally I think that continuous exchanges are great & people who have problems with them usually don’t know what they are talking about.

ng12 7y ago

Preventing HFT would mean exchanges make less money, meaning they'd either have to charge more or find a new way to subsidize market activity. It's akin to how Robinhood sells data to trading firms to subsidize trades for long-term retail investors. "Economically productive" isn't always black and white.

esoterica 7y ago

Most exchange open/close auctions use time priority to deal with order imbalances. If there are buy orders for 300 shares and sell orders for 500 at the same price, then only first 300 shares on the sell side will be filled. The speed incentive is a consequence of time priority, not the auction frequency. Switching from continuous auctions to open/close style auctions every 5 minutes would not remove the incentive to be fast.

tikkabhuna 7y ago

You're talking about a "Periodic Auction" market, Cboe have one[1]. Another alternative is "Auction on Demand"[1]. MiFID 2 regulation was a real push to move people away from using dark pools. 0 - https://markets.cboe.com/europe/equities/trading/periodic_auctions_book/ https://markets.cboe.com/europe/equities/trading/periodic_au... 1 - https://business.nasdaq.com/auction-on-demand/index.html https://business.nasdaq.com/auction-on-demand/index.html