Comment bin trades and add randomness (Score 1) 342
a) resolution in 5 second trade blocks
- don't resolve trades with bid/ask when they arrive. Accumulate 5 seconds of incoming bid/ask then resolve. Pass the remaining unresolved to the next interval.
b) Arrival time +10 to 20 seconds random interval -> fuzzy bin boundaries and fixed "lag". Not guaranteed to get simultaneous orders into the same trade bin. Keeps trading honest and less able to be gamed.
c) fixed lag and binning means no insta-cancelling orders.
d) no cancelling once posted into the (b) queue. Yes you trade in the lag. So does everyone else. The traders can factor that into their margins and strategies.