[modderation]

I think it's an interesting thought experiment. What would happen if the stock market were quantized to a blind one trade per-minute granularity?

I suspect this would put everyone on more even footing, with less focus on beating causality and light lag, placing more focus on using the acquired information to make longer-term decisions. This would open things up to anyone with a computer and a disposable income, though it would disappoint anyone in the high-frequency trading field.

[JumpCrisscross]

> What would happen if the stock market were quantized to a blind one trade per-minute granularity?

Like one share of stock trades each minute in each name? Or one trade randomly executes?

If the former, you stop trading the stock and start trading something pointing at it. If the latter, the rich get to trade.

> less focus on beating causality and light lag

You’d have to ban cancelling orders, otherwise you bid and offer and then cancel at the last minute. Either way, you’d be constantly calculating the “true” price while the market lags and settling economic transactions on that basis. (My guess is the street would settle on a convention for the interauction model price.)

If you’re upset about stock markets looking like casinos, the problem isn’t the fast trading. It’s the transparency. Just don’t report trades until the end of the day.

If you aesthetically don’t like HFT, that’s a tougher problem as the price of the stock points at something tied to reality, and reality runs real time.

Both ideas sort of look like the private markets.

[shawabawa3]

He means every minute a single "opening trade" style trade happens and clears overlapping sections of the order book

This has the advantage of every trader getting the same price every minute. And racing against the clock has marginal utility

[JumpCrisscross]

> racing against the clock has marginal utility

It has the same utility as in the opening cross, the most algorithmically-trafficked moments of trading after the closing cross. The last order can incorporate more information than an earlier one. Given the book is assembled transparently, that means an order submitted close to the deadline can “see” other orders in a way they couldn’t “see” it.

[sdwr]

> blind one trade per-minute granularity

"Blind" meaning that no orders can "see" each other.

[JedMartin]

You would change the rules, but I think the result would largely remain the same. As a market participant with the fastest access to data from other markets, news, and similar sources, as well as low order entry latency, you would still be able to profit from information asymmetry.

Imagine that a company announces the approval of its new vaccine a few milliseconds before the periodic trade occurs. As an HFT firm, you have the technology to enter, cancel, or modify your orders before the periodic auction takes place, while less sophisticated players remain oblivious to what just happened. The same applies to price movements on venues trading the same instrument, its derivatives, or even correlated assets in different parts of the world.

On the other hand, you risk increasing price volatility (especially in cases where there is an imbalance between buyers and sellers during the periodic auction) and making markets less liquid.