# Tag Info

5

Normally, an order is indeed routed to a different exchange to fill at NBBO. The exchange will then levy a fee for this routing. I'm not sure how the exchange actually chooses where to route in the case of a tie; I suspect that decision is up to the exchange operator so long as the SEC agrees. As for an ISO order, the sender is effectively taking ...

4

I think there is a result that some generalizations of the Vickrey auction to two sided trading do not have balanced budgets: i.e. require additional incentives from the market maker. It occurs as a consequence of avoiding any participant's price being dependent on their own input. The "Vickrey" approach would be to make someone's price equal to the ...

4

One idea - borrowing from Google's 2nd Price auction model, which uses Vickery, for prioritizing rank of ads on their search page would be to determine a strictly monotonic increasing function $f(*)$, which applied to $u1 = (o1 - r1)$ and $u2 = (o2-r2)$ results in $o1*f(u1) \geq o2*f(u2)$ iff $o1 \geq o2$. The winner in this case would pay: \$o2*f(u2) / ...

3

Two general methods: you either need to increase general interest in the asset (i.e. increase volume) or make a mechanical change that will induce depth. Some obvious ways: Increase the minimum spread so that depth increases at the inside (you see this effect in low price stocks, where the minimum tick size is a constraint). Incentivize liquidity ...

1

Order entry protocols allow the sender to specify how they want their order routed. Some protocols such as NASDAQ's Ouch don't support routing where as others, such as RASH, do. How the order is entered and what flags are set will dictate how the exchange handles routing. In the case of a no route order you'll simply receive a cancel for the un-executed ...

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