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I have heard of several allegations in the recent days, but they are mostly baseless. However, there are a rare, few trading venues whose matching rules are most often accused of giving unfair order execution advantages to certain firms. These usually arise from violations of the standard price-time priority: IEX's broker priority rule. "All orders will ...


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In addition to @madilyn's answer, there is one point that needs to be addressed and that is often called an unfair advantage although it is merely a competitive advantage. Take the US Equities market. There are now several venues on which the same symbols are traded. If one HFT acquires information about one symbol in one venue - e.g. due to a limit order ...


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Here is how I would approach such a calibration. Assuming we have the necessary market data one can easily construct the emprical distribution of the arrival rate. Let $\lambda_{emp}(\delta)$ be the empirical distribution. Then one can define a metric by $$ m(k,A,N)=\sum_{i=1}^N |\lambda_{emp}(i)-\lambda^a(i)| $$ After you have decided upon a suitable ...


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Having locked markets is bad in the sense it freezes the price formation process. Ideally we would like to have a price on as much instruments as possible so that we know their value. it prevent investors to buy (or sell) it and thus adds frictions, transaction costs, etc. We would like to enable investors to buy or sell when they need/want, to let the ...


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The adopting release of Reg NMS http://www.sec.gov/rules/final/34-51808.pdf discusses the problem(s) they were looking to solve. That will provide the SEC's thought process.



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