'Flash Boys' IEX stock exchange opens for business
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Re: 'Flash Boys' IEX stock exchange opens for business
#2I wish them the best of luck.
It's easy to become resigned to finance being an insiders game. But the efficient allocation of capital is to important to leave to "the professionals."
Re: 'Flash Boys' IEX stock exchange opens for business
#3An infinitely more interesting question is who owns Capital Group Companies
Re: 'Flash Boys' IEX stock exchange opens for business
#4If you're wondering what IEX becoming a full blown exchange means to you, well it probably doesn't matter at all.
They have been operating for some time already as an ATS, today they are now part of the RegNMS protected quote, meaning that up until today, brokers did not have to route orders to them.
it also allows them to have companies "list" on their exchange, though I don't know of any companies that are planning on listing with IEX currently.
They bring 4 unique things to the market
- their built in delay of 350 micro seconds on each incoming and out going message, ie they delay order's coming in and they delay fill notifications going out.
- they have a patented dynamic peg algo that will allow a user to place an order that the exchange will dynamically price. This order type was a bit contentious as the exchange doesn't delay quote changes when updating these orders, ie these orders are blessed in the sense that they don't obey the 350 microsecond delay.
https://www.iextrading.com/trading/dpeg/
- they aren't currently allowing co-location
- they don't participate in the maker taker model. They charge, I think, 9 cents on dark orders and nothing for lit orders.
Maybe the most interesting thing that IEX has brought to the US market is that the NYSE is now filing to add their own discretionary PEG order.
Re: 'Flash Boys' IEX stock exchange opens for business
#5Fun trivia from Flash Boys they originally were going to use the full name Investor's Exchange, but the url was unfortunate:
www.investorsexchange.com
Hence they use the short form IEX.
Re: 'Flash Boys' IEX stock exchange opens for business
#6I wish them the best of luck. It's easy to become resigned to finance being an insiders game. But the efficient allocation of capital is to important to leave to "the professionals."
Markets do not allocate capital, they provide liquidity for investors making them more likely to invest during stock offerings in the first place.
Re: 'Flash Boys' IEX stock exchange opens for business
#7In terms of reducing the ability of speedy traders to gain an advantage in a continuous time market, how does IEX's fixed time delay compare to discretizing the timesteps, so all the trades within some finite interval [t, t+e] are treated as if they came at the same time?
This talk presents compares discretization to standard continuous-time bidding, but doesn't go into a lot of detail about how it compares to IEX-style delays: https://simons.berkeley.edu/talks/eric-budish-2015-11-19
Re: 'Flash Boys' IEX stock exchange opens for business
#8I wish them the best of luck. It's easy to become resigned to finance being an insiders game. But the efficient allocation of capital is to important to leave to "the professionals."
Markets do not allocate capital, they provide liquidity for investors making them more likely to invest during stock offerings in the first place.
Those are just different faces of the same coin.
Re: 'Flash Boys' IEX stock exchange opens for business
#9In terms of reducing the ability of speedy traders to gain an advantage in a continuous time market, how does IEX's fixed time delay compare to discretizing the timesteps, so all the trades within some finite interval [t, t+e] are treated as if they came at the same time? This talk presents compares discretization to standard continuous-time bidding, but doesn't go into a lot of detail about how it compares to IEX-st…
The IEX delay and batch auctions are really two completely different things.
IEX delays almost all messages in and out by a small amount.
They don't delay messages for orders that their own router modifies, their discretionary peg order. This lets their peg orders update before any one, ie HFTs, can update their own resting orders on IEX or at other exchanges in the case of a fill at IEX.
It's important to note that even with the IEX design, speed is still very important as its still a price time priority queue for order placement and cancelling. An analogy would be if all 100 meter sprinters reaction times were delayed by 1 second from hearing the starters pistol. The fastest runner still wins, its just that all reactions times are delayed evenly.
Batch auctions are a whole different animal, and to be honest, one I'm not very familiar with. Their greatest weakness is that they don't operate in a stand alone environment, ie the rest of the world continues to trade around them which eliminates most of their advantage.
Re: 'Flash Boys' IEX stock exchange opens for business
#10If you're wondering what IEX becoming a full blown exchange means to you, well it probably doesn't matter at all. They have been operating for some time already as an ATS, today they are now part of the RegNMS protected quote, meaning that up until today, brokers did not have to route orders to them. it also allows them to have companies "list" on their exchange, though I don't know of any companies that are planning…
For more on the dynamic peg controversy, this article lays it out in detail:
https://www.bloomberg.com/view/articles/2015-12-22/the-flash...
TL;DR:
> In other words, the objection goes, IEX uses the magic shoebox (and its router's ability to skip the shoebox) to do "latency arbitrage" and trade with stale quotes on other exchanges before traders on those exchanges can update their quotes, just like it accuses high-frequency traders of doing to its own investors. And, the objection goes, if it's unfair for high-frequency traders to do this to IEX's customers, then it's just as unfair for IEX's customers to do it to high-frequency traders.
[but maybe this is just leveling the playing field...]