Re:A High Frequency Trader's Apology, Pt 2
by harryh on Thursday April 26, 2012 @01:39PM
(#3895136)
Let's say I want to sell 100 shares of MomCorp at $10.
Bob also wants to sell 100 shares of MomCorp at $10.
If, instead of employing first come first serve you use a random selection then both of us have an incentive to tell the market that we actually want to sell more than 100 shares to increase the odds that we'll actually get to sell what we want. Various bad/unpredictable/unstable things start to happen in this sort of situation.
If, instead of employing first come first serve you use a random selection then both of us have an incentive to tell the market that we actually want to sell more than 100 shares to increase the odds that we'll actually get to sell what we want. Various bad/unpredictable/unstable things start to happen in this sort of situation.
FIFO matching leads to a stable market.