4 ms·
Would there be any loss of liquidity if trades were matched in 1 or 2 second intervals? This would eliminate all front running and colocation bias.
by unabridged 13y ago
Would there be any loss of liquidity if trades were matched in 1 or 2 second intervals? This would eliminate all front running and colocation bias.
- kasey_junk 13y agoThis doesn't solve the problem in anyway. The issue is what if you have a different amount of buy to sell qty. Who gets their order filled? This is called matching and each market matches in different ways. The typical way (and one of the leading drivers of latency races) is first in/first match. If you continue to FIFO match on your intervals there is still a tremendous advantage to being first into the interval. If you aren't going to FIFO match that is fine, you just need to determine (and publish) your matching routine.