5 ms·

As far as I understand your suggestion, it exactly describes the way current markets work.

• btilly 14y ago
  Then you did not understand the suggestion. :-( The key point of what I suggested is that the price drifts slowly, and orders can only execute at the current price. In today's market the price can move instantaneously. That's a pretty big difference.
  • sokoloff 14y ago
    You're creating a new notion that doesn't currently exist: that there is "a price" in a stable equilibrium condition, when in fact, there is a spread. (I think if you draw out an order book of bids and asks, and then try to overlay your notion of a "single price" on it, you will find that your system is not an improvement, at least not for people who value certainty.) Part of the problem that others are having understanding you (assuming your system is, in fact, better) is that you don't seem to be giving a full explanation that relates to the actual order book initial conditions and new incoming order flow. I'm not an expert by any means, but I can't understand, concretely, EXACTLY how your proposal is intended to work. It feels hand-wavy to me, which usually means that an idea isn't fully-formed. (I mean no disrespect here; just stating my perception.) I WANT the price to move instantaneously, even though my only interface is via Etrade's retail and mobile site, and I probably execute 400 trades a year. I strongly prefer instant over a few pennies here and there, even though I'm at a (at least theoretical) disadvantage in terms of market access as compared to the HFTs.
    • yummyfajitas 14y ago
      I think what he calls "price" is an arbitrary variable the exchange defines (along with some set of rules that price follows), and then imposes the rule that trades occur at it.
      • btilly 14y ago
        Exactly.