3 ms·

These problems are fixable. Use blind bidding, and ban spoofing by preventing order cancellation within a bucket. Too many orders? Set a per-client limit. Most

These problems are fixable. Use blind bidding, and ban spoofing by preventing order cancellation within a bucket. Too many orders? Set a per-client limit. Most of this is improvable with software. As other commenters point out, the resistance is from incumbent trading institutions who have a lot invested in the status quo.

soligern 3y ago
Blinding bidding would not work given the current way NMS works and it wouldn’t be completely blind either ways, the exchanges would know and that’s a system ripe for abuse. What is an order cancellation? Would different legs on a hedge count as a cancellation? The closing window is a massive challenge as well. It would have to be accurate down to the nano second and you can bet the exchange is going to get litigated against depending on which bucket the order ends up in. If you set up mandatory delays per client you would have each hedge funds split up into hundreds of shell companies to get around it. Having worked at exchanges, most surveillance and analysis of trades happen after the close of day. You’re proposing a literal real-time surveillance system that would be absolutely massive in scale.
- MagnumOpus 3y ago
  It obviously works, given that many exchanges do have morning and evening auctions. > The closing window is a massive challenge as well. It would have to be accurate down to the nano second. It wouldn't have to be - one could even say first second is for bids, second second there are no bids but a delay to give auction results mid-second and allow people to process. > the exchanges would know They can be forbidden to sell that info real-time by their regulator (it arguably would be market abuse and that could be made explicit). It is definitely not impossible like you are trying to imply. (Financial markets participant with 20 years in the market here, for what it's worth.)

soligern 3y ago

Blinding bidding would not work given the current way NMS works and it wouldn’t be completely blind either ways, the exchanges would know and that’s a system ripe for abuse. What is an order cancellation? Would different legs on a hedge count as a cancellation? The closing window is a massive challenge as well. It would have to be accurate down to the nano second and you can bet the exchange is going to get litigated against depending on which bucket the order ends up in. If you set up mandatory delays per client you would have each hedge funds split up into hundreds of shell companies to get around it. Having worked at exchanges, most surveillance and analysis of trades happen after the close of day. You’re proposing a literal real-time surveillance system that would be absolutely massive in scale.

MagnumOpus 3y ago
It obviously works, given that many exchanges do have morning and evening auctions. > The closing window is a massive challenge as well. It would have to be accurate down to the nano second. It wouldn't have to be - one could even say first second is for bids, second second there are no bids but a delay to give auction results mid-second and allow people to process. > the exchanges would know They can be forbidden to sell that info real-time by their regulator (it arguably would be market abuse and that could be made explicit). It is definitely not impossible like you are trying to imply. (Financial markets participant with 20 years in the market here, for what it's worth.)