3 ms·
But how much more liquidity would it provide versus frequent batch auctions where trades are grouped in 1 sec (or maybe 100 ms) intervals and matched? Batch auc
by unabridged 12y ago
But how much more liquidity would it provide versus frequent batch auctions where trades are grouped in 1 sec (or maybe 100 ms) intervals and matched? Batch auctions would entirely remove the benefits of the HFT arms race (and other gaming like flashing a price and cancelling instantly)
Paper on frequent batch auctions: http://faculty.chicagobooth.edu/eric.budish/research/HFT-FrequentBatchAuctions.pdf http://faculty.chicagobooth.edu/eric.budish/research/HFT-Fre...
- jal278 12y agoGreat quote from that paper: "There are some subtleties involved [...] since it takes light roughly 4 milliseconds to travel between Chicago (where ES trades) and New York (where SPY trades), [...] We would also like to suggest that the fact that special relativity plays a role in these calculations is support for frequent batch auctions." (emph added)
- kasey_junk 12y agoBatch auctions do not deal with the central problem which is tie-breakers. What happens if there are more participants on one side of a price level than the other? What mechanism do you use to determine ties? If it is FIFO then you still have a latency race.
- unabridged 12y agoOrder size is a good way to break ties, then I'd say random draw after that. And if ties are so frequent its time to add another digit to the price.