5 ms·

As would trading on a clock. If the market only updated once a second or even a far smaller interval, this whole insane business would be mostly irrelevant.

gaius 13y ago
... And then people would worry about being exactly on the second, not a millisecond over.
- anologwintermut 13y ago
  If there's not difference between the start of an interval and the end, it doesn't matter much. A second is a long enough time to get an order in that at least people won't be doing insane things to reduce latency.
easytiger 13y ago
Then proximity to the second tick would be the game. What you are advocating would have people sending orders in the future to arrive at the gateway as timer expires.
- anologwintermut 13y ago
  Perhaps I'm missing something, but why would it matter? Trades execute at the state in t-1 at time t. Assuming people's orders are secret in that interval, you don't actually care when your trade gets queued.
  - pron 13y ago
    This sounds like an awesome idea.
  - easytiger 13y ago
    because if the trade comes in too early it would automatically rejected by the g/w. Also how could the orders in a published orderbook be secret?
    - gamblor956 13y ago
      You are misunderstanding what he's saying. He's saying that you could use a periodic-submission order system. Say that the period is (for ease of discussion), 1 hour, ending on the hour. All orders made during the hour are queued up and simultaneously executed at the start of the next hour. If there are too few bids/offers to satisfy all trades, then trades are satisfied using some fixed rubric (i.e., pro rata, max/min price buyer/seller will accept, etc.) Until execution, the orders remain secret (not published to the orderbook). In theory, this allows people to place orders based on a known price. In practice, in the past (before electronic trading took over), the published orderbook was updated manually as traders submitted bids, offers, and executed sales information to the exchange.
      - gaius 13y ago
        Unfortunately there is actually no such thing as "simultaneously", because these are not discrete events; for every buyer, there will be 1-n sellers, all of whom are involved in other trades of their own. You have to impose an order on trade execution, and each trade will take some finite amount of time to process.
        anologwintermut 13y ago
        So you randomize instead of doing first come first serve. Everyone who got there orders in by the deadline gets an equal shot. You do verifiable randomness to prevent the exchange from messing with trade orders. If you do a simple two phase system, you don't have to worry about the exchange leaking orders. You send in a cryptographically binding commitment to your order(this hides the order now, but prevents you from changing it later). After the time period is up, the exchange publishes a commitment to their randomized order of trades , then every party reveals their actual order. Then trades execute.
        gaius 13y ago
        Sorry, but that's ridiculous. You can't know in that situation what inventory anyone will have at the time you actually make the trade! I don't think you quite understand that these trades aren't simply converting money to something else. They are actually buying and selling things, abstract things to be sure, but things that your counterparty will either already own or be able to acquire on your behalf. You might as well say Amazon should send things to random addresses and everyone has an equal chance of getting what they ordered.
- theorique 13y ago
  No, the idea is that orders are batched up and then crossed in an auction every second. You literally gain no advantage from being a millisecond (or several) ahead of somebody else as long as you're within a given second. It's kind of like an opening cross, happening like a metronome every second of the day. (They also do these or similar crosses when a stock restarts after a halt, or during an IPO.) Probably there would be some attempt to game the system by measuring open interest on either side up until the time the cross operates (i.e. when one second 'ticks' into the next). If such numbers were made available.

gaius 13y ago

... And then people would worry about being exactly on the second, not a millisecond over.

anologwintermut 13y ago
If there's not difference between the start of an interval and the end, it doesn't matter much. A second is a long enough time to get an order in that at least people won't be doing insane things to reduce latency.

easytiger 13y ago

Then proximity to the second tick would be the game. What you are advocating would have people sending orders in the future to arrive at the gateway as timer expires.

anologwintermut 13y ago
Perhaps I'm missing something, but why would it matter? Trades execute at the state in t-1 at time t. Assuming people's orders are secret in that interval, you don't actually care when your trade gets queued.
- pron 13y ago
  This sounds like an awesome idea.
- easytiger 13y ago
  because if the trade comes in too early it would automatically rejected by the g/w. Also how could the orders in a published orderbook be secret?
  - gamblor956 13y ago
    You are misunderstanding what he's saying. He's saying that you could use a periodic-submission order system. Say that the period is (for ease of discussion), 1 hour, ending on the hour. All orders made during the hour are queued up and simultaneously executed at the start of the next hour. If there are too few bids/offers to satisfy all trades, then trades are satisfied using some fixed rubric (i.e., pro rata, max/min price buyer/seller will accept, etc.) Until execution, the orders remain secret (not published to the orderbook). In theory, this allows people to place orders based on a known price. In practice, in the past (before electronic trading took over), the published orderbook was updated manually as traders submitted bids, offers, and executed sales information to the exchange.
    - gaius 13y ago
      Unfortunately there is actually no such thing as "simultaneously", because these are not discrete events; for every buyer, there will be 1-n sellers, all of whom are involved in other trades of their own. You have to impose an order on trade execution, and each trade will take some finite amount of time to process.
      - anologwintermut 13y ago
        So you randomize instead of doing first come first serve. Everyone who got there orders in by the deadline gets an equal shot. You do verifiable randomness to prevent the exchange from messing with trade orders. If you do a simple two phase system, you don't have to worry about the exchange leaking orders. You send in a cryptographically binding commitment to your order(this hides the order now, but prevents you from changing it later). After the time period is up, the exchange publishes a commitment to their randomized order of trades , then every party reveals their actual order. Then trades execute.
        gaius 13y ago
        Sorry, but that's ridiculous. You can't know in that situation what inventory anyone will have at the time you actually make the trade! I don't think you quite understand that these trades aren't simply converting money to something else. They are actually buying and selling things, abstract things to be sure, but things that your counterparty will either already own or be able to acquire on your behalf. You might as well say Amazon should send things to random addresses and everyone has an equal chance of getting what they ordered.
theorique 13y ago
No, the idea is that orders are batched up and then crossed in an auction every second. You literally gain no advantage from being a millisecond (or several) ahead of somebody else as long as you're within a given second. It's kind of like an opening cross, happening like a metronome every second of the day. (They also do these or similar crosses when a stock restarts after a halt, or during an IPO.) Probably there would be some attempt to game the system by measuring open interest on either side up until the time the cross operates (i.e. when one second 'ticks' into the next). If such numbers were made available.