4 ms·

(Thoughts from someone who works in this space) Exposing _all_ order entry traffic on the public market data feed is not great, especially the part where they

by minimax 12y ago

(Thoughts from someone who works in this space) Exposing _all_ order entry traffic on the public market data feed is not great, especially the part where they expose client generated order uuids on the public feed. This allows market participants to potentially identify other market participants' orders based on their client order uuids e.g. if they are using a uuid generator that incorporates the MAC address. I think I understand why they are doing this. They want to have a clean REST order entry interface, but still allow participants to know immediately when they are filled (via the websockets feed). Ultimately, they should implement a websockets order entry interface and stream accepts, fills, cancels, and rejects only to the involved participants. They should not expose any client generated ids on the public feeds, and only non-marketable orders and trades should hit the public feed. This is how it works literally everywhere else. Also it wouldn't hurt to have time-in-force (IOC, etc) and support for non-displayed orders.

mrchicity 12y ago
Also if they're charging 25 bps to be a taker vs. 0 to make, people will want a post-only order. I actually like the idea of putting ClOrdIDs on the feed, maybe encrypted with some key only the sender has? Would make excluding one's own orders so much easier and no concerns about who sees what first: http://www.wsj.com/articles/SB10001424127887323798104578455032466082920 http://www.wsj.com/articles/SB100014241278873237981045784550...
- benjaminjackman 12y ago
  Another option is to include the pricefeed order id in the order submit ack message sent on the order channel to the submitter.
  - mrchicity 12y ago
    Yes that's how things work on itch/ouch. Downside with that is you can see your order hit the feed before you know it's yours. For people who want to exclude their orders from their view of the market, they have to build heuristics to handle this case or risk flashing/chasing their own tail. Also doesn't help the IOC case. If market data dissemination is usually faster than the private order entry/ack/fill channel, it would be better to know that a trade resulted from my IOC by seeing it on the data feed rather than waiting.
benjaminjackman 12y ago
I have not rwad the article but from what you are describing it sounds like they probably should just use itch. I think anonymity in markets might be something we should experiment with getting rid of. Doing that right is hard because it is difficult to prevent sock-puppetry-spoofing which would require regulations and penalties for rat hole order shredding. So order anonymity is 'easier'. But now the exchange has to deal with spoofers. Or not. but they must be explicit about their policy with regards to spoofing and rigoursly and rapidly enforce that policy. If they are not they create a syatem where some participants will break the rules to gain advantage and others will follow them and suffer. And allowing spoofing might be a violation of dodd-frank (i am not sure if this exchange implicitly falls under its scope or not) so again, some participants might feel to play it safe while others wont have such qualms. Atleast using an order based feed makes it easier to track bogus orders which increases the difficulty for spoofers vs motivated play by the rules dont commit hundreds of felonies per day liquidity providers. Trading ...ugh
- mrchicity 12y ago
  I would never trade under my own name in a pre- or post-trade transparent market that included broker ID. Competitors are great at working with lots of data. You don't think they'd take a crack at reverse engineering my models given a feed of every trade I did (or even worse, all my orders)?
  - benjaminjackman 12y ago
    Of course they would reverse engineer them. How do markets benefit from your (or my) models being given privacy versus not being given it?
- minimax 12y ago
  Orders should be anonymous or explicitly attributed. What I'm taking issue with is the grey zone coinbase has created where you are mostly anonymous but you might be leaking some identifying information via public client order ids. If they want identities to be public they could make it explicit via explicit market participant IDs.

by minimax 12y ago

mrchicity 12y ago

Also if they're charging 25 bps to be a taker vs. 0 to make, people will want a post-only order. I actually like the idea of putting ClOrdIDs on the feed, maybe encrypted with some key only the sender has? Would make excluding one's own orders so much easier and no concerns about who sees what first: http://www.wsj.com/articles/SB10001424127887323798104578455032466082920 http://www.wsj.com/articles/SB100014241278873237981045784550...

benjaminjackman 12y ago
Another option is to include the pricefeed order id in the order submit ack message sent on the order channel to the submitter.
- mrchicity 12y ago
  Yes that's how things work on itch/ouch. Downside with that is you can see your order hit the feed before you know it's yours. For people who want to exclude their orders from their view of the market, they have to build heuristics to handle this case or risk flashing/chasing their own tail. Also doesn't help the IOC case. If market data dissemination is usually faster than the private order entry/ack/fill channel, it would be better to know that a trade resulted from my IOC by seeing it on the data feed rather than waiting.

benjaminjackman 12y ago

I have not rwad the article but from what you are describing it sounds like they probably should just use itch. I think anonymity in markets might be something we should experiment with getting rid of. Doing that right is hard because it is difficult to prevent sock-puppetry-spoofing which would require regulations and penalties for rat hole order shredding. So order anonymity is 'easier'. But now the exchange has to deal with spoofers. Or not. but they must be explicit about their policy with regards to spoofing and rigoursly and rapidly enforce that policy. If they are not they create a syatem where some participants will break the rules to gain advantage and others will follow them and suffer. And allowing spoofing might be a violation of dodd-frank (i am not sure if this exchange implicitly falls under its scope or not) so again, some participants might feel to play it safe while others wont have such qualms. Atleast using an order based feed makes it easier to track bogus orders which increases the difficulty for spoofers vs motivated play by the rules dont commit hundreds of felonies per day liquidity providers. Trading ...ugh

mrchicity 12y ago
I would never trade under my own name in a pre- or post-trade transparent market that included broker ID. Competitors are great at working with lots of data. You don't think they'd take a crack at reverse engineering my models given a feed of every trade I did (or even worse, all my orders)?
- benjaminjackman 12y ago
  Of course they would reverse engineer them. How do markets benefit from your (or my) models being given privacy versus not being given it?
minimax 12y ago
Orders should be anonymous or explicitly attributed. What I'm taking issue with is the grey zone coinbase has created where you are mostly anonymous but you might be leaking some identifying information via public client order ids. If they want identities to be public they could make it explicit via explicit market participant IDs.