3 ms·
Been trying to figure this out myself. What if we have 3 offers and 2 bids crossing at the same price after the 1 second tick is up. Which two offers get filled
by harmegido 12y ago
Been trying to figure this out myself. What if we have 3 offers and 2 bids crossing at the same price after the 1 second tick is up. Which two offers get filled? If the answer is, the first two, then you've solved nothing. Maybe you randomize it? That could bring up some interesting issues.
- harryh 12y agoYa, if you randomize it than I have in incentive to submit more bids than I actually want filled because I've estimated what my fill rate is going to be. Of course everyone else has that incentive too which is going to negatively effect my fill rate which seems like it would lead to a pretty unstable system.