Re:The high-frequency trading arms race: frequent batch auct...
by kasey_junk on Sunday October 17, 2021 @02:55PM
(#28898798)
Periodic auctions still need tie breakers. CBOE for instance falls back to size then time. This is the same tie breaker that some CME futures contracts have used in a continuous order book. Those contracts always had more gamesmanship than standard price/time contracts when I was trading.
Has that become true in the auction space at well?
Re:The high-frequency trading arms race: frequent batch auct...
by hcarlens on Sunday October 17, 2021 @03:04PM
(#28898867)
When they were first introduced, each of the fba books had slightly different mechanics (matching priority, timing, price determination), so each book needs a slightly different approach. I guess you could see it as gamesmanship, but in equity markets dealing with market mechanics properly is just part of the job.
Re:The high-frequency trading arms race: frequent batch auct...
by ur-whale on Monday October 18, 2021 @02:17AM
(#28902743)
> sadly it's paywalled
Which mean most people here won't be able to read it.
What aren't uploading it to sci-hub or some other free access venue?
Re:The high-frequency trading arms race: frequent batch auct...
by hcarlens on Monday October 18, 2021 @03:05AM
(#28902959)
Yeah it's a shame. I don't own the IP, my previous employer does, and I think when they got it published in the journal of trading they had to agree to some level of exclusivity which meant it can't just be uploaded elsewhere.
I just linked to it in case someone here had a subscription.
Re:The high-frequency trading arms race: frequent batch auct...
by dna_polymerase on Monday October 18, 2021 @12:22PM
(#28907239)
https://sci-hub.se/10.3905/jot.2018.13.3.005
We need to take information, wherever it is stored, make our copies and share them with the world - Aaron Swartz
Around the introduction of MiFID II regulation in 2018, several exchange operators added these frequent auction books.
Cboe's period auctions book is the biggest of these by volume: https://www.cboe.com/europe/equities/trading/periodic_auctio...
In addition to Cboe, Turquoise, Goldman Sachs, UBS, Virtu and Aquis also run frequent batch auction venues: https://www.cboe.com/europe/equities/market_share/market/ven...
I actually co-wrote a paper about this at the time, and it's very rare I get a chance to talk more about it! https://jot.pm-research.com/content/13/3/5 (sadly it's paywalled)