HN commenter, paraphrased: "HFTs pay brokerages money to see non-executed limit orders! That's outrageous." Literally anyone can pay a trivial amount of money to see non-executed limit orders on the order book at a stock exchange, which exists in large part to do exactly this.
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Not dunking on the commenter here; this feels like a good encapsulation of something which is easy for a technologist to believe so good to correct publicly.
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Replying to @patio11
Tangentially relevant: This brilliant article on the right answer to HFT linked to, if not explicitly endorsed, by
@matt_levine this week: https://faculty.chicagobooth.edu/eric.budish/research/HFT-FrequentBatchAuctions.pdf … (I hope Matt does endorse it; maybe he can let us know!)1 reply 0 retweets 0 likes -
Replying to @dreev @matt_levine
Seems cleaner just to eliminate the sub-penny rule; the reason traders are currently competing on speed rather than competing on price is that in very liquid stocks, liquidity providers competing on price is effectively illegal.pic.twitter.com/W53tcRWgmZ
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I also think that the sentence which begins "Formally," is probably wrong as written, but that depends on market microstructure issues. Can you guarantee absolute synchronicity of Chicago and New York's clocks, for example?
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If I am capable of waving a magic wand which wins auctions in 1 microsecond and you require 25 microseconds, and there is 2 microseconds of clock skew between New York and Chicago, I will outcompete you 100% of the time regardless of whether auctions execute every 1 or 100.
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