This Is What One Half Second of High Speed Trading Looks Like

Re:This Is What One Half Second of High Speed Trading Looks ... by harryh on Friday May 10, 2013 @02:51AM (#5684973)

There are some big problems with that plan. If I want to sell 100 shares, but I think that you also want to sell 100 shares but there is only 150 shares of demand then I'm incented to put in an order to sell 200 shares so that I capture 2/3rds of the demand.

But you're incented to do the same thing! So if you're going to put in an order for 200 maybe I should put in an order for 400? You can see where this is going...

People worry about HFT destabilizing the market. It seems to me that would be a much greater risk if you're incentivizing people to put in crazy orders that they don't actually want to do just to grab the percentage of demand that they desire.

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Re:This Is What One Half Second of High Speed Trading Looks ... by Nimi on Friday May 10, 2013 @10:07AM (#5686226)

What happens if we aggregate both the supply and demand over a second (and don't allow price resolution smaller than a cent), then each seller gets to sell a portion of the demand proportional to the amount of this stock he owns?

This seems to disincentivize putting up for sale more than the seller wants to sell, and to also disincentivize "Sybil attacks" where the seller has an incentive to create false identities for himself. (Just a thought experiment, would be happy to know what I'm missing here :-)

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