Re:High-Speed Trading Isn't About Efficiency—It's About Chea...
by minimax on Sunday February 09, 2014 @03:07PM
(#7206941)
We actually have a system similar to what you describe in your last paragraph with the three "inverted" US equity exchanges where liquidity providers pay a fee and liquidity takers receive a rebate. It means that shares posted to the inverted exchanges are cheaper (net of fees) to aggressors than shares posted to other exchanges, so liquidity takers with a smart order router will look first to the inverted exchanges before the other exchanges.
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