[sjbase]

Excellent question! The TL;DR is that substitutability and the ability to manage risk (e.g. execute hedges or constrain factor exposure atomically) can be great for inducing liquidity in the absence of large volume and high turnover.

On substitutability: if you want to sell $2m of some sector basket you wouldn't put in a limit order for $2m in every security (overfill risk). An expressive order can enforce a $2m global constraint across the basket but show full size in each security. When lots of people are doing this, it solves the "ships passing the night" problem where people are looking for offsetting exposure at a high level but can't express anything but single stock orders.

On risk management: some constraints certainly are restrictive, e.g. conjunctive constraints like 'a' AND 'b' AND 'c'. It would be very unlikely that we find the exact opposite of that constraint, so the auction is multilateral: we can stitch together the contra with individual single orders for 'a', 'b', 'c'. Key to the liquidity aspect of this is our objective function: it rewards more aggressive pricing and larger quantities. So the principle here is that by gaining atomicity (and reducing uncertainty) people can be more aggressive on price and qty. This is especially important for liquidity provision: how much larger size could market makers quote if they could automatically hedge new positions they enter into?

All that said, bootstrapping liquidity is the hardest part of any venue launch. We're obsessively focused on making sure we have the right blend of participants trading on different horizons for a healthy pool.