I used to beat the drums of exchange restructuring over on TabbGroup. What a waste of time that was.
All markets should be periodic Dutch auctions and completely dark. Anything else just creates sub-industries where players connive to earn a living on the friction of the machine providing no value to society whatsoever.
Daniel Aisen from IEX, aka Puzz, presented at QuantCon last week. We also had the head of product speak at our New York meetup last year. Both of them were fascinating.
http://www.slideshare.net/Quantopian/iex-quant-con031415daniel-aisen
http://blog.quantopian.com/iex-head-of-product-designing-a-fair-stock-exchange/
I'm a big believer that the perfect should not be the enemy of the good. I think they're making the markets better and safer.
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Well, I think what they are doing is a lot more grey than that. The broker preference is just abhorrent. Dark pool midpoint pegs are stupid orders to begin with; bring all the dark into the light so that these skulking whales can contribute to price discovery and pay the slippage fair and square.
If any skulking whale exposed anymore than a tail fluke in a lit market they'd get harpooned by all the predatory Ahabs prowling those waters.
Turn all the waters dark yet regulate all exchanges and ECNs to ensure they honor NBBO then the price is all you need to trade. What right does any trader have in knowing how much meat is there beneath the surface? None. Whether I'm buying a mammoth or a morsel I should be able to place my order with impunity and without the need to hide my intentions.
Well, what IS the NBBO, if everything is dark?? We're already half-way there. The entire raison d'être of markets is price discovery, which is harmed by dark pools, iceberg orders and all the rest of it. If there was a single regulated central limit book, with no alternative markets, the depth of liquidity there would be immense and prices would be legit. The challenge is to, if we must, get the same outcome but with competition among markets.
Can someone explain to me, in a nutshell, what IEX is doing? What problems are they solving? What value are they bringing to the market that it is willing to pay for? I've gathered that their main technological innovation was to put a spool of fiber in their system, as a delay. Not rocket science, in my book. So, what else are they offering of lasting value?
I think IEX from what I heard are offering a "Safer" exchange, besides making it harder for your orders to be scalped they open their routing algorithm for anyone to read.
I think they will only get market share when we get a huge crash caused by algorithms trying to manipulate other algorithms.
http://blog.quantopian.com/iex-head-of-product-designing-a-fair-stock-exchange/
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.
In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.