The quote that follows is from a once-popular proposal for batch auctions that was essentially nixed by incumbents that profit from complexity in the existing m

The quote that follows is from a once-popular proposal for batch auctions that was essentially nixed by incumbents that profit from complexity in the existing market structure. You may want to check out pdf page 50 of [2] for a detailed description of the demand curves described in the quote. "During the batch interval (e.g. 1 second), traders submit bids and asks as price-quantity pairs. At the conculsion of each batch interval, the exchange 'batches' all of the recieved orders and computes the market-level supply and demand curves. If supply and demand intersect, then all transactions occur at the same market-clearing price." The demand curves can be degenerate, which means we have to address two edge cases: "Bids and asks of exactly the market-clearing price may get rationed (pro-rata). If there is a range of market-clearing prices, choose the midpoint" [1] https://www.cftc.gov/sites/default/files/idc/groups/public/@newsroom/documents/file/tac021014_budish.pdf https://www.cftc.gov/sites/default/files/idc/groups/public/@... [2] http://people.stern.nyu.edu/jhasbrou/TeachingMaterials/STPPms12a.pdf http://people.stern.nyu.edu/jhasbrou/TeachingMaterials/STPPm...