Re:The high-frequency trading arms race: frequent batch auct...
by anonu on Sunday October 17, 2021 @07:48PM
(#28900772)
The US Markets generally operate multiple sessions: pre open, on-open, regular-market trading, on-close, post-close or after-hours.
Open and closing auctions are batch auctions.
To facilitate liquidity seeking, the major exchanges publish a periodic "imbalance" feeds in the minutes and seconds up to the auction. As you can imagine, its gamed in a multitude of ways, including special order types (D-Quotes on the NYSE anyone?) that only a select few market participants know about or have access to.
The point is, whatever mechanism you choose: over time that mechanism morphs and transforms. New options are provided under the guise of liquidity seeking but really serve to benefit the HFTs.
Open and closing auctions are batch auctions.
To facilitate liquidity seeking, the major exchanges publish a periodic "imbalance" feeds in the minutes and seconds up to the auction. As you can imagine, its gamed in a multitude of ways, including special order types (D-Quotes on the NYSE anyone?) that only a select few market participants know about or have access to.
The point is, whatever mechanism you choose: over time that mechanism morphs and transforms. New options are provided under the guise of liquidity seeking but really serve to benefit the HFTs.