alt Hacker NewsI've been wondering if the stock market would be more efficient if trades executed only every <small time interval> instead of continuously, i.e. every 1 second an opening trade style cross book clearance happens. Orders would have to be on the book for a full interval to execute to prevent last millisecond rushes at the end of an interval
I'm probably missing some second order effects but it feels like this would mitigate the need for race to the bottom latencies and would also provide protection against fat fingered executions in that every trading algorithm would have a full second to arbitrage it
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You could do this but the cost would be wider bid/ask spreads for all market participants. If you make it harder for market makers to hedge their position, they will collect a larger spread to account for that. A whole lot of liquidity can disappear in a second when news hits.
I’d rather have penny-wide spreads on SPY than restrict trading speed for HFTs. Providing liquidity is beneficial to everyone, even if insane amounts of money are spent by HFTs to gain an edge.
this is exactly what many dark pools do
"continuous periodic auctions"