The behavior of other participants is itself a first-class signal.
Rule 611 compresses that signal. By forcing everything to orbit a size-agnostic NBBO, it collapses a lot of the “behavioral bandwidth” (depth, imbalance, sweep patterns, replenishment, cancel/replace cadence) into a single top-of-book tick. Less resolution, less information.
High-resolution flow tells you who wants what, at what size, and how urgently. When we gate execution through protected quotes, we encourage tactics that flick the top-of-book with tiny size and discourage truthful size revelation. That’s signal destruction dressed up as protection.
Letting informed counterparties print away from the protected price (to reflect size or information) increases informational content. You get cleaner read-through from actual willingness to trade, instead of a compliance-driven dance around a fragile benchmark.
So yes: other people’s actions are the best data feed. The more of that behavior we can see—in size, time, and venue—the better our discovery gets. 611 reduces that visibility by design.
If HFT was genuinely good for the entire market than absolute latency would be what matters but it is only relative latency between HFT firms that matter because they are all competing against each other using the same tactics where whoever is fastest wins.
All participants contribute to price discovery. A nanosecond order book helps with price discovery the deeper it is, regardless of whether orders clear.
> The better the computers hooked directly into the exchange get you mean.
I think you're trolling with this one. But you had an advantage typing your comment into a web browser compared to all the people who wrote theirs on paper and put it in an envelope with a stamp.
A nanosecond order book helps with price discovery the deeper it is, regardless of whether orders clear.
This is a claim, it is not being backed up by evidence.
I think you're trolling with this one. But you had an advantage typing your comment into a web browser compared to all the people who wrote theirs on paper and put it in an envelope with a stamp.
This analogy doesn't make any sense. Why would a person care about nanosecond price discovery? The only benefit is for whoever controls the computers that are able to do it and profit off of it.
If that's not true then why are these firms paying so much money to have nanosecond advantages?
Why do people doing normal trading want to avoid the exchanges that have HFT computers skimming money off their trades?
There is no mutual benefit here. If there was you would be able to explain it clearly and with evidence instead of just making claims about 'price discovery'.
The price is going to get discovered either way just as it has for hundreds of years, it happening a billion times per second does normal traders no good.
> The better the computers hooked directly into the exchange get you mean.
I need you to understand that HFT makes decisions based on human-defined parameters. It's not AI-driven. What's the difference between a human saying "these are my parameters, now CPU, go trade based off those" versus "these are my parameters, now underling, go trade based off those"
the only difference is speed, plus i suppose those underlings might suck at following their boss's directives compared to a computer
It's pretty funny that there are people in this thread pretending like "price discovery" is a real thing that happens in markets based on information. We've all seen Dogecoin and BBBYQ. The emperor has no clothes.
We could make the distinction between price discovery, i.e. what price are people currently willing to buy and sell at (short-term) vs value discovery (long-term).
When I press the buy and sell button, I want the transaction to happen as quickly as possible. So does everyone else.
My millionth of a second is different than yours, and everyone else’s.
It is no different than buying or selling anything else. And there is no loss from the additional liquidity, you can easily set a limit at which you want to buy or sell.
The only way to implement this is to eliminate competition between exchanges.
There are two different things being talked about here.
Trading based on arbitrage between exchanges will happen in one way or another no matter what.
Trading millions of times per second automatically on the same exchange when some people have low latency computers at the exchange with huge amounts of extra information is not necessary.
Also, Wall Street would love this. The more of the order book you submitted, the more information you have about its composition.
The point isn't to make something 'wall street hates' it's to make something that doesn't get money eaten away by automated computers in the middle so that it's the best option for people making trading decisions on people time scales.
> not me. I don't mind if it takes like 20 seconds or so
Which is fine! You can probably find a broker who will give you fee-free trading with that preference. The price you execute at won’t be as good. But unless you’re trading millions, that’s probably fine.