4 ms·

Another option is to match orders with frequent batch auctions (instead of continuous double).[1] 1. http://faculty.chicagobooth.edu/eric.budish/research/HFT-F

• kasey_junk 12y ago
  Batch auctions already exist already and still have HFT algo trading. Further, this paper also assumes a very particular assumption, that there is 1 and only 1 exchange. Even if we wanted that in 1 legal venue (history says we don't) we can't enforce it globally. So venue arbitrage will still happen and therefore there is still a speed advantage. Finally, this paper glosses over with 1 phrase "it may be necessary to ration one side of the market to enable market clearing" the whole crux of the problem. How do you remediate ties in price that can't be fully filled? IE, what is the matching algorithm? If it is still FIFO, then you still have a race.