joelja at bogus.com
Wed Aug 8 09:23:20 CDT 2012
On 8/8/12 6:52 AM, Naslund, Steve wrote:
> It seems to me that all the markets have been doing this the wrong way.
> Would it now be more fair to use some kind of signed timestamp and
> process all transactions in the order that they originated?
Given an uneven distribution of sizes it's kind of hard to fill orders
in the order in which they arrived (unmatched orders are part of a
normally functioning market). A large bid may require the accumulation
of sell orders while smaller orders may be more easily matched. Some HF
trading strategies of course rely on this. Today large orders may be
filled on more than one ecn at a time so the notion of central agency in
clearance is also a little challenging.
> each trade could have a signed GPS tag with the absolute time on it. It
> would keep everyone's trades in order no matter how latent their
> connection to the market was. All you would have to do is introduce a
> couple of seconds delay to account for the longest circuit and then take
> them in order. They could certainly use less expensive connections and
> ensure that international traders get a fair shake.
it's simpler to just locate the trading platforms in the same place and
give everyone the same length cable.
The incentives are in the wrong place too deliberately induce delay
without some externality (like a regulator) guiding behavior.
If one sees current behavior as undesirable there are other methods such
as the adjustment of transaction costs that might be more effective.
More information about the NANOG