4 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 pri

by 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?
      - AlbertCory 3y ago
        > I'm not sure you do understand it. shrug. you do you. If not agreeing with you is "not understanding," then you're right. I think you're the one who doesn't understand the US securities market. Nitpicking the precise meaning of every word is a good working definition of "slick." We're done here.
        infecto 3y ago
cosmojg 3y ago
Repeating my reply from elsewhere in the thread, individuals and corporations aren't making tradable decisions at subsecond intervals. Few even make tradable decisions at intraday intervals. 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 the utility of markets in price discovery, long-term investing, and the raising of capital. Submit a limit order at a price you find fair and wait your turn or just take whatever's available on the other side of the order book. Markets have long functioned productively and efficiently on slower, human-speed timescales without the need for day traders or intrahour market makers.
- Maxion 3y ago
  The alternative is we take this current mini-game to its conclusion and find some limit in physics and/or materials science that causes delays between markets to hit a floor. Then we're doing the same thing, applying a minimum tick rate to trading, except to achieve this tick rate you have to spend X to get the technology. For these sort of things were you know there will be an end with a minimum achievable delay, it just makes way more sense to arbitrarily decide it's X and call it a day and let humanity use its resources on better things, than let this waste of resources continue.
  - consilient 3y ago
    > Then we're doing the same thing, applying a minimum tick rate to trading, except to achieve this tick rate you have to spend X to get the technology. Not quite, because the next step is being physically closer to the exchange, and there's only so much real estate to go around.
- wbl 3y ago
  The broker dealers were robbing their customers blind. 12 cent spreads, high trade fees, rooms full of people using hand signs that in case of a dispute couldn't be reviewed. Decimalization was great.

by growse 3y ago

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?
    - AlbertCory 3y ago
      > I'm not sure you do understand it. shrug. you do you. If not agreeing with you is "not understanding," then you're right. I think you're the one who doesn't understand the US securities market. Nitpicking the precise meaning of every word is a good working definition of "slick." We're done here.
      - infecto 3y ago

cosmojg 3y ago

Repeating my reply from elsewhere in the thread, individuals and corporations aren't making tradable decisions at subsecond intervals. Few even make tradable decisions at intraday intervals. 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 the utility of markets in price discovery, long-term investing, and the raising of capital. Submit a limit order at a price you find fair and wait your turn or just take whatever's available on the other side of the order book. Markets have long functioned productively and efficiently on slower, human-speed timescales without the need for day traders or intrahour market makers.

Maxion 3y ago
The alternative is we take this current mini-game to its conclusion and find some limit in physics and/or materials science that causes delays between markets to hit a floor. Then we're doing the same thing, applying a minimum tick rate to trading, except to achieve this tick rate you have to spend X to get the technology. For these sort of things were you know there will be an end with a minimum achievable delay, it just makes way more sense to arbitrarily decide it's X and call it a day and let humanity use its resources on better things, than let this waste of resources continue.
- consilient 3y ago
  > Then we're doing the same thing, applying a minimum tick rate to trading, except to achieve this tick rate you have to spend X to get the technology. Not quite, because the next step is being physically closer to the exchange, and there's only so much real estate to go around.
wbl 3y ago
The broker dealers were robbing their customers blind. 12 cent spreads, high trade fees, rooms full of people using hand signs that in case of a dispute couldn't be reviewed. Decimalization was great.