traversal

4 ms·

1. 1.▲
   by traversal 14y ago

   What you see as "an annoying little problem", I see as a sign that the system is consistent and robust. It's a good thing that the system doesn't distinguish between a hundred one-share orders and a single hundred-share order; such a disti
2. 2.▲
   by traversal 14y ago

   Why do you think there will be less incentive for speed in the discretized case? The reward for being first in line will be exactly the same. And traders already have the option of advancing their price by a penny. The issue is that they
3. 3.▲
   by traversal 14y ago

   Hmm. So let's say we assign every trader a unique ID and randomly (or not) prioritize the IDs every tick. (I'm assuming you're shuffling the IDs and not the individual orders; otherwise, as jsnell points out, it averages out to the pro ra
4. 4.▲
   by traversal 14y ago

   Whenever HFT comes up on HN, someone asks why we don't just remove the incentive for low latencies by matching orders less frequently. It's a fair question, but I think there are good reasons not to do this. Let's say we discretize the exc
5. 5.▲
   by traversal 15y ago

   I'm not a game theorist (and I'd welcome an opinion/correction from one), but I don't think the original paper's conclusion is very interesting, or has much bearing on real life. Their result (that jokers, defectors, and cooperators will cy