[sjbase]

> Very cool market. This feels a lot like multi-leg option execution.

Thanks! And yep, similar but all the way down to the venue/match level, e.g. as opposed to a broker taking on some legging risk to shield the end investor.

> How do you think market makers are going to react to this? Expanding on Kelly's take - the big thing it does for market makers is allow them to manage momentary risk. When a market maker gets filled on an exchange, they are immediately looking to hedge/offload what they took on which involves a sequence of transactions.

Here, the hedge is baked in. So for example, they may enter an order that looks like "buy and/or sell any mix of these 200 securities, if and only if the net change in risk (e.g. change in exposure across several factors) is within some tolerable distance from 0". So that would look like a traditional bid-ask spread across a series of symbols, but with a global exposure constraint. The key outcome being they can quote larger sizes across symbols safely.

NB: the MM doesn't need to know anything about the composition of the complex order on the other side. On top of that, they may be filling one leg, and a natural or other LP filling another etc..