"Then we divide all the incoming orders into discrete time chunks called quantums. All the orders in one quantum will be processed independently of the rest of

"Then we divide all the incoming orders into discrete time chunks called quantums. All the orders in one quantum will be processed independently of the rest of the world and before the next quantum is processed." Taiwan's stock and futures exchanges have a vaguely similar trading mechanism. This isn't really well-discussed on the internet in English. Best I could find at short notice was these papers (first one free, second one not): http://www.kfunigraz.ac.at/sor/Downloads/SS2009/ExpVerfahren/Paper1/Literatur%20Exp.%20Verfahren/Comerton_Rydge.pdf http://www.kfunigraz.ac.at/sor/Downloads/SS2009/ExpVerfahren... http://www3.interscience.wiley.com/journal/116327547/abstract http://www3.interscience.wiley.com/journal/116327547/abstrac... Basically, instead of having continuous trading (which could mean huge amounts of market data every second), they just do 30-second auctions all day long. You get an order book update, send in your orders, and they figure out who matched whom 30 seconds later. At which point they send out the next order book update, consisting of all the orders which didn't match in the last auction. Time priority still applies within the 30-second chunks. So if you have a trading algorithm, it only has to wake up once every 30 seconds ... but when it does, it has to be fast. (However, time priority doesn't apply in the opening auction --- the priority for orders at any given price is randomised and has nothing to do with who got their orders in first.) Of course the little local brokers loved this mechanism, and the big foreign banks all hated it (and probably lobbied against it behind the scenes). Maybe they lobbied so hard that they don't have this mechanism anymore; I've been out of the industry for a few years now so I'm way behind the times ...