3 ms·

> 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,

> 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.
  - growse 3y ago
    > You are intentionally exaggerating. He didn't say to add "deliberate randomness" and he didn't say "10 minutes." Sorry, does a "random number generator" mean some other type of randomness? And what's true for 10 minutes is also true for one second. > A one microsecond or one millisecond time window would serve all legitimate trading purposes. The fact that you're throwing around quantizations that are three orders of magnitude different and just saying "this'll do" makes me think you don't actually understand how trading works. Which then? A millisecond? Why not a microsecond? If a microsecond is fine, why not a nanosecond? Why are you so keen to put arbitrary restrictions on when people can buy/sell things from each other?
    - AlbertCory 3y ago
      "deliberate randomness" to me means prices or share counts change randomly. I think many or most people would see it that way. > makes me think you don't actually understand how trading works whoo-hoo! Getting snooty there, aren't you? I think I understand it as well as you do. > Why are you so keen to put arbitrary restrictions on when people can buy/sell things from each other? that's called "market regulation." That's what the SEC's mission is. It's intended to convince unsophisticated investors that they're not being cheated by slick operators.
      - growse 3y ago
        > whoo-hoo! Getting snooty there, aren't you? I think I understand it as well as you do. shrug You're proposing fundamental changes to the way that markets operate, which would have profound (and mostly negative) effects on the economy, but being entirely casual about the pretty important details across multiple orders of magnitude (a millisecond here, a microsecond there, what's the difference?). I'm not sure you do understand it. > that's called "market regulation." That's what the SEC's mission is. It's intended to convince unsophisticated investors that they're not being cheated by slick operators. Sure, but you have not in any way made any case about how quantizing the market stops unsophisticated investors from "being cheated by slick operators.". What does "slick" mean? What does "cheating" mean? If I buy a computer and colo it with my local exchange to get better latency, is that being "slick"? How about if I hire an army of PhDs to do extensive market analysis, am I "cheating" the unsophisticated investor then?

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.
- growse 3y ago
  > You are intentionally exaggerating. He didn't say to add "deliberate randomness" and he didn't say "10 minutes." Sorry, does a "random number generator" mean some other type of randomness? And what's true for 10 minutes is also true for one second. > A one microsecond or one millisecond time window would serve all legitimate trading purposes. The fact that you're throwing around quantizations that are three orders of magnitude different and just saying "this'll do" makes me think you don't actually understand how trading works. Which then? A millisecond? Why not a microsecond? If a microsecond is fine, why not a nanosecond? Why are you so keen to put arbitrary restrictions on when people can buy/sell things from each other?
  - AlbertCory 3y ago
    "deliberate randomness" to me means prices or share counts change randomly. I think many or most people would see it that way. > makes me think you don't actually understand how trading works whoo-hoo! Getting snooty there, aren't you? I think I understand it as well as you do. > Why are you so keen to put arbitrary restrictions on when people can buy/sell things from each other? that's called "market regulation." That's what the SEC's mission is. It's intended to convince unsophisticated investors that they're not being cheated by slick operators.
    - growse 3y ago
      > whoo-hoo! Getting snooty there, aren't you? I think I understand it as well as you do. shrug You're proposing fundamental changes to the way that markets operate, which would have profound (and mostly negative) effects on the economy, but being entirely casual about the pretty important details across multiple orders of magnitude (a millisecond here, a microsecond there, what's the difference?). I'm not sure you do understand it. > that's called "market regulation." That's what the SEC's mission is. It's intended to convince unsophisticated investors that they're not being cheated by slick operators. Sure, but you have not in any way made any case about how quantizing the market stops unsophisticated investors from "being cheated by slick operators.". What does "slick" mean? What does "cheating" mean? If I buy a computer and colo it with my local exchange to get better latency, is that being "slick"? How about if I hire an army of PhDs to do extensive market analysis, am I "cheating" the unsophisticated investor then?