3 ms·

I don't get it, why is it that market orders don't have a lifetime? I know we used to have a granularity on price that was pretty thick, what would be the issu

by rtpg 12y ago

I don't get it, why is it that market orders don't have a lifetime? I know we used to have a granularity on price that was pretty thick, what would be the issue with having an order have to be on the market for at least a second? I have my doubts about sub-second trading increasing liquidity and making the markets more effecient

gd1 12y ago
The issue would be that market makers would need to inject their orders (quotes) at a greater distance from the mid-price, in order to protect themselves against market movement during the minimum lifetime you propose. If my bid and offer is obligated to sit in the market for x seconds, then it is potentially a sitting duck for any adverse event during that time period, and I would have to quote wider to cover that possibility.