4 ms·

And in which order would orders be executed when they come in and get queued? A delay wouldn't fix anything because the queue would still be FIFO. The only way

And in which order would orders be executed when they come in and get queued? A delay wouldn't fix anything because the queue would still be FIFO. The only way to remove HTF would be removing the trading session, and instead only offering the market auction. Btw, a "tick" in trading is the minimum up/down movement of an asset (e.g. 0.25 points on NQ, or 0.01 on TSLA).

denotational 3y ago
> Btw, a "tick" in trading is the minimum up/down movement of an asset (e.g. 0.25 points on NQ, or 0.01 on TSLA). This is true, but the term is overloaded: if I say "the exchange slid the price one tick to comply with Reg. NMS" then I'm using it in the sense you mean; if I say "the model recomputes on each tick" then I'm using it in the sense of the GP.
elictronic 3y ago
Randomize the queue.
- growse 3y ago
  That'll make everything more expensive, as every trade now has to price in the risk that it won't actually happen. Increasing market friction is not a good idea.
  - cosmojg 3y ago
    Given that randomization need only apply to orders placed simultaneously at identical prices, I don't see how it would increase market frictions enough to significantly limit their utility in price discovery, long-term investing, and the raising of capital. Individuals and corporations aren't making tradable decisions at subsecond intervals.
    - growse 3y ago
      By simultaneously, I assume you mean "within one time interval". I suspect you'd be surprised how many orders at the same price can happen in a very very short time window. As for price discovery, a lot of information can happen in one second. Quantizing just adds risk, which adds cost, which harms everyone. > Individuals and corporations aren't making tradable decisions at subsecond intervals. No, but they're benefitting significantly from the fact that the cost of trading is now minuscule compared to what it used to be.
      - cosmojg 3y ago
        > Quantizing just adds risk, which adds cost, which harms everyone. No, it adds risk at the scale of the quantum, adding cost for those trading at the scale of the quantum, harming a very small subset of traders who would normally benefit from trading at or below the scale of the quantum, like HFT firms and short-term market makers. Should such institutions cease to exist because the cost of trading at such scales becomes prohibitively expensive, I highly doubt that society will suffer.
        growse 3y ago
        We already have evidence from history (where trading latencies and intervals were much higher) that the spreads become much higher as trading frequency goes down. The spread represents the amount of uncertainty and risk associated with a price. Every bip away from the midpoint your bid/ask sits is pure cost to the participant, and that's true for all participants. Even if I only come to market once a year to splurge my bonus on GME, I'm worse off paying 20c over the midpoint than I am paying 1c.
        Maxion 3y ago
        > We already have evidence from history (where trading latencies and intervals were much higher) that the spreads become much higher as trading frequency goes down. Would this really hold true linearly across trading frequencies? As we get to shorter and shorter delays, the technological cost for participating in HFT will just keep going up (e.g. building your own microwave transmission towers et. al. sillyness), decreasing the amount of potential participants. Won't this at some point start having the opposite effect - limiting participants in the market to those with enough cash to play? Wouldn't there be some theoretical level of trading delay that should be regulated in order to ensure optimal liquidity as well as market participation?
cosmojg 3y ago
> And in which order would orders be executed when they come in and get queued? That's easy! Come time to match and fill for orders placed at identical prices, there's no reason a random number generator couldn't do the trick. Trading second-by-second need not be reliably profitable in the extremely short term to ensure an orderly and efficient market. The whole point of a static tick rate is to disincentivize such myopic trading in the first place! I agree, though, that the logical conclusion of all this would be to replace the trading session with a market auction. However, while I appreciate the superior allocative efficiency of a Vickrey-style sealed-bid second-price multi-unit double auction[1] as much as the next guy, I have more faith in iterative improvements coming to pass before revolutionary ones. > Btw, a "tick" in trading is the minimum up/down movement of an asset (e.g. 0.25 points on NQ, or 0.01 on TSLA). Right, I apologize if I confused anyone with overloaded terms, but I think it's appropriate to expect the average Hacker News reader to correctly parse "tick rate" in the context of telecommunications and networking rather than confuse it with the trading concept of "tick size." [1] https://www.cs.cmu.edu/~softagents/papers/Emarket.pdf https://www.cs.cmu.edu/~softagents/papers/Emarket.pdf
- growse 3y ago
  > > And in which order would orders be executed when they come in and get queued? > That's easy! Come time to match and fill for orders placed at identical prices, there's no reason a random number generator couldn't do the trick. Trading second-by-second need not be reliably profitable in the extremely short term to ensure an orderly and efficient market. The whole point of a static tick rate is to disincentivize such myopic trading in the first place! Adding deliberate randomness to the market makes it neither more orderly nor more efficient. And you're confusing "myopic" trading with market making. Buying now and selling 10 minutes from now brings together two other participants who want to trade but not at the same time. That seller may have needed to have accepted a worse price in order to execute when they needed to. But if you just look at the market maker, they briefly held onto something they didn't need for 10 minutes. What's the point!
  - AlbertCory 3y ago
    You are intentionally exaggerating. He didn't say to add "deliberate randomness" and he didn't say "10 minutes." A one microsecond or one millisecond time window would serve all legitimate trading purposes.
AlbertCory 3y ago
Someone else here said "random" for choosing which of two or more identical trades to execute. As it is now, it's "first one to arrive, measured in nanosecond time." I think the SEC decreeing "random" for trades within some time window (is the window of millisecond size? microsecond size? not sure) would be totally legit, and it would redirect financial resources to better trades, not faster ones.
Ekaros 3y ago
Disallowing fill or kill(or deprioritising) could solve this. So any sell order is split between buy orders matching.

denotational 3y ago

> Btw, a "tick" in trading is the minimum up/down movement of an asset (e.g. 0.25 points on NQ, or 0.01 on TSLA). This is true, but the term is overloaded: if I say "the exchange slid the price one tick to comply with Reg. NMS" then I'm using it in the sense you mean; if I say "the model recomputes on each tick" then I'm using it in the sense of the GP.

elictronic 3y ago

Randomize the queue.

growse 3y ago
That'll make everything more expensive, as every trade now has to price in the risk that it won't actually happen. Increasing market friction is not a good idea.
- cosmojg 3y ago
  Given that randomization need only apply to orders placed simultaneously at identical prices, I don't see how it would increase market frictions enough to significantly limit their utility in price discovery, long-term investing, and the raising of capital. Individuals and corporations aren't making tradable decisions at subsecond intervals.
  - growse 3y ago
    By simultaneously, I assume you mean "within one time interval". I suspect you'd be surprised how many orders at the same price can happen in a very very short time window. As for price discovery, a lot of information can happen in one second. Quantizing just adds risk, which adds cost, which harms everyone. > Individuals and corporations aren't making tradable decisions at subsecond intervals. No, but they're benefitting significantly from the fact that the cost of trading is now minuscule compared to what it used to be.
    - cosmojg 3y ago
      > Quantizing just adds risk, which adds cost, which harms everyone. No, it adds risk at the scale of the quantum, adding cost for those trading at the scale of the quantum, harming a very small subset of traders who would normally benefit from trading at or below the scale of the quantum, like HFT firms and short-term market makers. Should such institutions cease to exist because the cost of trading at such scales becomes prohibitively expensive, I highly doubt that society will suffer.
      - growse 3y ago
        We already have evidence from history (where trading latencies and intervals were much higher) that the spreads become much higher as trading frequency goes down. The spread represents the amount of uncertainty and risk associated with a price. Every bip away from the midpoint your bid/ask sits is pure cost to the participant, and that's true for all participants. Even if I only come to market once a year to splurge my bonus on GME, I'm worse off paying 20c over the midpoint than I am paying 1c.
        Maxion 3y ago
        > We already have evidence from history (where trading latencies and intervals were much higher) that the spreads become much higher as trading frequency goes down. Would this really hold true linearly across trading frequencies? As we get to shorter and shorter delays, the technological cost for participating in HFT will just keep going up (e.g. building your own microwave transmission towers et. al. sillyness), decreasing the amount of potential participants. Won't this at some point start having the opposite effect - limiting participants in the market to those with enough cash to play? Wouldn't there be some theoretical level of trading delay that should be regulated in order to ensure optimal liquidity as well as market participation?

cosmojg 3y ago

> And in which order would orders be executed when they come in and get queued? That's easy! Come time to match and fill for orders placed at identical prices, there's no reason a random number generator couldn't do the trick. Trading second-by-second need not be reliably profitable in the extremely short term to ensure an orderly and efficient market. The whole point of a static tick rate is to disincentivize such myopic trading in the first place! I agree, though, that the logical conclusion of all this would be to replace the trading session with a market auction. However, while I appreciate the superior allocative efficiency of a Vickrey-style sealed-bid second-price multi-unit double auction[1] as much as the next guy, I have more faith in iterative improvements coming to pass before revolutionary ones. > Btw, a "tick" in trading is the minimum up/down movement of an asset (e.g. 0.25 points on NQ, or 0.01 on TSLA). Right, I apologize if I confused anyone with overloaded terms, but I think it's appropriate to expect the average Hacker News reader to correctly parse "tick rate" in the context of telecommunications and networking rather than confuse it with the trading concept of "tick size." [1] https://www.cs.cmu.edu/~softagents/papers/Emarket.pdf https://www.cs.cmu.edu/~softagents/papers/Emarket.pdf

growse 3y ago
> > And in which order would orders be executed when they come in and get queued? > That's easy! Come time to match and fill for orders placed at identical prices, there's no reason a random number generator couldn't do the trick. Trading second-by-second need not be reliably profitable in the extremely short term to ensure an orderly and efficient market. The whole point of a static tick rate is to disincentivize such myopic trading in the first place! Adding deliberate randomness to the market makes it neither more orderly nor more efficient. And you're confusing "myopic" trading with market making. Buying now and selling 10 minutes from now brings together two other participants who want to trade but not at the same time. That seller may have needed to have accepted a worse price in order to execute when they needed to. But if you just look at the market maker, they briefly held onto something they didn't need for 10 minutes. What's the point!
- AlbertCory 3y ago
  You are intentionally exaggerating. He didn't say to add "deliberate randomness" and he didn't say "10 minutes." A one microsecond or one millisecond time window would serve all legitimate trading purposes.

AlbertCory 3y ago

Someone else here said "random" for choosing which of two or more identical trades to execute. As it is now, it's "first one to arrive, measured in nanosecond time." I think the SEC decreeing "random" for trades within some time window (is the window of millisecond size? microsecond size? not sure) would be totally legit, and it would redirect financial resources to better trades, not faster ones.

Ekaros 3y ago

Disallowing fill or kill(or deprioritising) could solve this. So any sell order is split between buy orders matching.