lpage

10 ms·

31.
by lpage 5y ago
Some EMMs are excited to leverage Expressive Bidding to quote more size with less risk. For example, I'll bid 200 shares of XYZ @ $10.00 XOR {1,000 shares ABC @ $9.99, -500 shares (beta hedge) DEF @ 19.98}. Folks also plan on using Exp
32.
by lpage 5y ago
How bidders communicate bids to the auctioneer (the bidding language) is a central concern for any auction. It's pretty straightforward for unit good auctions (I'll pay $5 for A or I'll sell B for $4), but combinatorial aucti
33.
by lpage 5y ago
We're simply standing on the shoulders of giants for this one. Paul Milgrom and Bob Wilson, winners of the 2020 Prize in Economic Sciences, are responsible for the underlying theory and commercialization in other industries. My advisor
34.
by lpage 5y ago
The products that still trade predominately {OTC, bilateral, non-electronic} do because non-price factors, trading conventions, and counterparty risk make it difficult or impossible to trade on a central exchange. Expressive Bidding and a m
35.
by lpage 5y ago
Thank you!
36.
by lpage 5y ago
> Can you say more about how you incentivize truthful bidding? I understand about exposure risk and expressive bidding Both the multiunit dynamics and the specifics of our uniform clearing price mechanic minimize ex-post regret. Double a
37.
by lpage 5y ago
This is a great question, and the full answer involves lots of mechanism design nuance. The short answer is that we have uniform clears per trading instrument, and bids are sealed, so there's no direct signaling game that would allow s
38.
by lpage 5y ago
We needed to work through the FINRA BD and SEC ATS-N registration process, and the latter is a requirement that went into effect well after we got started on OneChronos. We're pleased with how both went, and we chose US equities as a b
39.
by lpage 5y ago
We're following the project with interest, but for now, we're focused on directing engineering resources to other portions of the stack. FWIW our approach is in the low nanos of precision and accuracy, which puts us within spittin
40.
by lpage 5y ago
> are you guys then just selectable as an algo/ATS going through through a broker, i.e, there could be a natural "sweep" (bit like algos covering block interest in some cases)? Yes. Some brokers are incorporating us into t
41.
by lpage 5y ago
All of our favorite things as well :)
42.
by lpage 5y ago
> Do you do only equities or also derivatives Initially we're US equities only. Stay tuned for other asset classes and geographies. Spot vs derivatives is a core use case that we want to do as soon as we can (only national exchanges
43.
by lpage 5y ago
Good question! Combinatorial auctions with a uniform clearing price eliminate mechanical arb; there's no opportunity to buy and sell a single trading instrument at different prices. Stat and funding arbs form "outside" of tra
44.
by lpage 5y ago
The notional values in compression cycles are insane, and we're interested in the post-trade space as well. The optimizations done on the post-trade and funding side aren't combinatorial auctions, resulting in efficiency loss an
45.
by lpage 5y ago
Great question! Complements in capital markets typically aren't as strong as other markets like event tickets. On the complements side, hedges are a good example. Market makers like banks are willing to quote much larger sizes for hedg
46.
by lpage 5y ago
Thank you! We really appreciate that. We're happy to be working on something that has already worked incredibly well in other domains while facing major technical blockers against use in ours. It gives us a clear, albeit challenging, p
47.
by lpage 5y ago
Ah, agreed, but we're talking about two different things—direct transaction costs versus allocative inefficiency/missed Pareto outcomes. OneChronos is about unlocking Pareto efficiencies—situations in which two or more parties can
48.
by lpage 5y ago
Thank you! That's my past life as well. The impedance mismatch between what I knew was possible on the market design front courtesy of my academic background and what I did day-to-day as an algo trader is part of the origin story. Stev
49.
by lpage 5y ago
Please email me! careers [at symbol] onechronos.com
50.
by lpage 5y ago
Fully appreciate that it's a very large sounding but very real number once you start unpacking the scale of capital markets: https://news.ycombinator.com/item?id=30247693
51.
by lpage 5y ago
> What is your SLA for an expressive bid? I'm guessing it its less than 1ms? The optimization procedure (which includes bid evaluation) is ~30ms. We cycle bound (under a formal model of computation via function application and graph
52.
by lpage 5y ago
Love that analogy—thanks! Combinatorial auctions are in large part about ensuring atomicity. Traders call it legging risk. Auction theorists call it exposure risk.
53.
by lpage 5y ago
It's a huge number that only makes context when looking at the absurd scale of capital markets globally. BlackRock has written on the cost of liquidity [1]. Unfortunately, much of the institutional research on this topic is in a walled
54.
by lpage 5y ago
It's more like ensuring an opportunity to leverage the information that's already being gathered. As it stands, PMs have to construct concrete portfolios because they need to send the trading desk specific instructions on what t
55.
by lpage 5y ago
> This would be far more impactful IMO for a market where price discovery is weak and market access is challenging We very much agree that the potential is even more significant for markets where opacity and price discovery is less effic
56.
by lpage 5y ago
> This seems like really deep technology. That it is! > What is the one sentence describing who would use this and why though? Today's market structure costs institutional investors (and by extension households) at least a trilli
57.
Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities
231 points by lpage 5y ago|118 comments
58.
by lpage 5y ago
Another subject, posted yesterday: https://news.ycombinator.com/item?id=29599553
59.
by lpage 5y ago
Budish et al. start with the statement that "The high-frequency trading arms race is a symptom of flawed market design" and present a mechanism that mostly addresses a specific feature of the current market structure. In 2021, mos
60.
by lpage 5y ago
See Proposition 6 on pg. 1600. The argument is purely economic and based on a simplified (but first-order reasonable) model of liquidity provisioning and price action. Price-priority uniform clearing price batch auctions (with or without ra

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