[sjbase]

The hedging scenario you describe is one of the hallmarks of combinatorial auctions[0], which let participants enter bids on packages. (Disclaimer, I'm a founder at OneChronos which is applying these auctions to US equities.) So a market maker can express something like: "fill me for any package that includes `x` gizmos AND `k * x` anti-gizmos simultaneously".

The more powerful and general version of this is: "Buy and sell any mix of products, subject to the total package being neutral across these 10 risk factors I care about."

> You might also want to do more complicated things, like pulling an order in one product if another product moves a lot

This is a key problem in US equities or any market with similar fragmentation. The way we're approaching that is to allow those package bids to also include constraints on "current" market conditions at the moment of the auction. A simple one would be "if the momentary spread between asset A and B is greater than X, don't trade."

[0]: https://www.forbes.com/sites/forbestechcouncil/2021/12/30/th...