3 ms·

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

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.
        anologwintermut 13y ago
        I think your Amazon point is rather inaccurate. With amazon people are ordering different products at fixed prices from one seller. In this case, the question is how do we actually determine the price for one product(say Google's stock) given many buyers and many sellers all with different price points. It's not the same thing at all. Someone/some algorithm has to match offers for sale with offers for purchases. Buyers are willing to buy at up to some price and seller sell at down to some prince. The question is when the matching is done, how frequently and whether you gain any advantage by being faster (other than having marginally more time to analysis). By contention is that you can accomplish this. While this may not work for, I don't think amazon or anything like that has much to do with it.
      - easytiger 13y ago
  - fr0sty 13y ago
    > In theory, this allows people to place orders based on a known price. This is exactly backwards. Without a published order book there is no "known price" since everything is secret. Your hourly blind cross will go off at whatever price satisfies the rubric but there is no way for a participant to know what that price will be before hand.

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.
      - anologwintermut 13y ago
        I think your Amazon point is rather inaccurate. With amazon people are ordering different products at fixed prices from one seller. In this case, the question is how do we actually determine the price for one product(say Google's stock) given many buyers and many sellers all with different price points. It's not the same thing at all. Someone/some algorithm has to match offers for sale with offers for purchases. Buyers are willing to buy at up to some price and seller sell at down to some prince. The question is when the matching is done, how frequently and whether you gain any advantage by being faster (other than having marginally more time to analysis). By contention is that you can accomplish this. While this may not work for, I don't think amazon or anything like that has much to do with it.
    - easytiger 13y ago
- fr0sty 13y ago
  > In theory, this allows people to place orders based on a known price. This is exactly backwards. Without a published order book there is no "known price" since everything is secret. Your hourly blind cross will go off at whatever price satisfies the rubric but there is no way for a participant to know what that price will be before hand.