Comment by gzread

8 hours ago

I saw this as a serious proposal somewhere but I can't remember where.

There are exchanges out there that run continuously but with delayed information feeds.

6 comments

gzread

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bostik  5 hours ago

The best known (at least in the tech circles - in good part thanks to HN and Matt Levine) is probably IEX. The exchange guarantees that every participant is behind the exact same time delay. And they do that by having a sufficiently long spool of optic fibre between the exchange "broadcast switch" and the market maker computers.

Simple and effective. Relies only on laws of physics to create the delay.

There are also exchanges that run with "frequent batch auction" principles.[0]

0: https://econpapers.repec.org/article/oupqjecon/v_3a130_3ay_3...

mlyle  6 hours ago

Run continuously, non-delayed, but only sweep the order book at a random time every [1,2) seconds. Run for something like our current extended market hours.

Everyone gets the benefit of fast-enough execution and strong liquidity.

Crazy high-frequency gamesmanship goes away. Smart quantitative plays are still possible.