4 ms·

This type of order book is actually quite common in Europe now! It provides an interesting alternative to central limit order books and dark pools. Around the

This type of order book is actually quite common in Europe now! It provides an interesting alternative to central limit order books and dark pools. Around the introduction of MiFID II regulation in 2018, several exchange operators added these frequent auction books. Cboe's period auctions book is the biggest of these by volume: https://www.cboe.com/europe/equities/trading/periodic_auctions_book/ https://www.cboe.com/europe/equities/trading/periodic_auctio... In addition to Cboe, Turquoise, Goldman Sachs, UBS, Virtu and Aquis also run frequent batch auction venues: https://www.cboe.com/europe/equities/market_share/market/venue/2021-10-16/#ct=02vrCC&sc=03NrCC&dm=tbpcan&dr=5day&mt=1&ms=0&hc=1&f=0&ID=8d4b5bedc69239a55eb4&V=33bd3ce3c54b531565bd https://www.cboe.com/europe/equities/market_share/market/ven... I actually co-wrote a paper about this at the time, and it's very rare I get a chance to talk more about it! https://jot.pm-research.com/content/13/3/5 https://jot.pm-research.com/content/13/3/5 (sadly it's paywalled)

kasey_junk 5y ago
Periodic auctions still need tie breakers. CBOE for instance falls back to size then time. This is the same tie breaker that some CME futures contracts have used in a continuous order book. Those contracts always had more gamesmanship than standard price/time contracts when I was trading. Has that become true in the auction space at well?
- hcarlens 5y ago
  When they were first introduced, each of the fba books had slightly different mechanics (matching priority, timing, price determination), so each book needs a slightly different approach. I guess you could see it as gamesmanship, but in equity markets dealing with market mechanics properly is just part of the job.
deleted 5y ago
[deleted]
ur-whale 5y ago
> sadly it's paywalled Which mean most people here won't be able to read it. What aren't uploading it to sci-hub or some other free access venue?
- hcarlens 5y ago
  Yeah it's a shame. I don't own the IP, my previous employer does, and I think when they got it published in the journal of trading they had to agree to some level of exclusivity which meant it can't just be uploaded elsewhere. I just linked to it in case someone here had a subscription.
  - dna_polymerase 5y ago
    https://sci-hub.se/10.3905/jot.2018.13.3.005 https://sci-hub.se/10.3905/jot.2018.13.3.005 We need to take information, wherever it is stored, make our copies and share them with the world - Aaron Swartz

kasey_junk 5y ago

Periodic auctions still need tie breakers. CBOE for instance falls back to size then time. This is the same tie breaker that some CME futures contracts have used in a continuous order book. Those contracts always had more gamesmanship than standard price/time contracts when I was trading. Has that become true in the auction space at well?

hcarlens 5y ago
When they were first introduced, each of the fba books had slightly different mechanics (matching priority, timing, price determination), so each book needs a slightly different approach. I guess you could see it as gamesmanship, but in equity markets dealing with market mechanics properly is just part of the job.

deleted 5y ago

[deleted]

ur-whale 5y ago

> sadly it's paywalled Which mean most people here won't be able to read it. What aren't uploading it to sci-hub or some other free access venue?

hcarlens 5y ago
Yeah it's a shame. I don't own the IP, my previous employer does, and I think when they got it published in the journal of trading they had to agree to some level of exclusivity which meant it can't just be uploaded elsewhere. I just linked to it in case someone here had a subscription.
- dna_polymerase 5y ago
  https://sci-hub.se/10.3905/jot.2018.13.3.005 https://sci-hub.se/10.3905/jot.2018.13.3.005 We need to take information, wherever it is stored, make our copies and share them with the world - Aaron Swartz