>People who submit last have the most information

Does that hold in a turn base system? Whether they played at the start of the minute or its end, they all knew the results of the last turn when they started bidding.

They might have external world info though.

Then again, you can always have the trades gathered during the turn period randomised in order and applied that way.

> Does that hold in a turn base system?

Yes. The fastest players will submit as late as possible, thereby integrating the most informaion.

This is only an issue if later players have knowledge of the action other players are taking during the turn in progress.

There would be no market price fluctuations more fine grained than whatever the tick rate of the turn is.

> This is only an issue if later players have knowledge of the action other players are taking during the turn in progress

You’re assuming full endogeneity. That is never the case. Others’ orders are just one input. Other markets’ books and orders are far more important, particularly for derivatives.

So, "simply" integrate those "other markets" into the turn based system?

The information many hft players operate on has nothing to do with the market in question.

I don't have any issue with HFTs that respond only to external news source, the research being done in news sentiment analysis and how to incorporate that into buys and sells might not be great but the HFT players that I take issue with are those that look at price trends and try to snatch penny advantages out of a perceived momentum, that sort of market play is meaningless.

Perceived momentum? I think your idea of HFT strategies might be pretty far off the mark.

Guessing that the market will continue to go up or down (a.k.a 'perceived momentum') is just a gambling strategy used by day traders. There are no long term successful hft operations based on predict the future strategies like that.

> Does that hold in a turn base system? Whether they played at the start of the minute or its end, they all knew the results of the last turn when they started bidding.

Not quite. In a turn based board game, sure, because literally nothing relevant happens outside the context of the game. In real life, plenty happens outside the context of a hypothetical Chicago turn. Most relevantly, New York happens.

(Actually, it’s New Jersey. Land is very expensive in NY, and data centers are fairly large, so “New York” finance mostly happens in Secaucus, NJ.)

You'd have to time it in place-reveal sequences, so all orders received between 12:59 and 1:00 would only be revealed (along with the matches between buy and sell orders) at 1:00.

So fuzz the trades. OPtimizing for precision is just resulting in massive misallocations of capital.

> fuzz the trades

Then I’ll settle over the counter, directly with my counterparties, and disintermediate your marketplace. The misallocation appears to be those looking to introduce complexity to solve a non-issue.

Realistically, you won't because of the transaction costs. Fuzzing doesn't add complexity, it sacrifices precision in favor of robustness. If your trading strategy depends on millisecond timing, it's too fragile for principal-agent applications.

>Then I’ll settle over the counter, directly with my counterparties, and disintermediate your marketplace

Not if that is made illegal.

>those looking to introduce complexity to solve a non-issue

Because HFT is not a huge complexity in itself?

> Not if that is made illegal

That would be a massive change to the American securities markets. Enough so that it might destroy them. “You can buy or sell your securities at competing venues” is a basic tent of finance.

Your suggestion is to make it illegal to sell a security at a specific price?