Re:Flash Boys in the US Treasury Market
by toast0 on Saturday January 17, 2015 @07:02PM
(#8906055)
On the one hand, if I really wanted my resting orders to fill, of course I would list them at all possible venues, and once it filled in one place, I would remove the order with all haste at the other venues.
On the other hand, if I really wanted my orders to fill against others' resting orders, I would time the sending to each venue so that they arrived at roughly the same time; if I'm in Chicago, that means send to the New York venues first, wait about 20 ms and send to the Chicago venues. Staggered sending should work pretty well as long as venues are far enough apart; I don't know how many venues are located in the same city.
On the other hand, if I really wanted my orders to fill against others' resting orders, I would time the sending to each venue so that they arrived at roughly the same time; if I'm in Chicago, that means send to the New York venues first, wait about 20 ms and send to the Chicago venues. Staggered sending should work pretty well as long as venues are far enough apart; I don't know how many venues are located in the same city.