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Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities

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41–50 of 121 posts

Re: Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities

#41

Do you do only equities or also derivatives? This is very interesting. Because you run frequent short auctions, there's no strict long-running orderbook here, right? Are you using FIX for your protocol and where are your servers geographically located?

> Do you do only equities or also derivatives

Initially we're US equities only. Stay tuned for other asset classes and geographies. Spot vs derivatives is a core use case that we want to do as soon as we can (only national exchanges can do listed derivatives trades, so it's a big lift).

> there's no strict long-running orderbook here, right

The default good-till behavior is one auction cycle (100ms Poisson random back-to-back).

> Are you using FIX for your protocol

Yes! And, we have a formal model of our FIX spec and self cert flow that makes onboarding us way easier of a process than what's typical [1]

> Are you using FIX for your protocol and where are your servers geographically located?

Initially, just Equinix NY5. Longer term, we plan on PoPing at most financial data centers. We use a constellation of GPS synchronized Stratum 1 clocks and proprietary network timestamping software + hardware to ensure that we process orders entered by the auction call time regardless of what physical host we receive the order on. We do the same for market data broadcast from other trading venues across data centers and geographies. We stream both market data and orders to a central point for processing. Every node in our distributed system that processes orders or “away venue” market data broadcasts a “Gateway Call Announcement (GCA)” message at auction call time to downstream compute nodes that run the auction.

[1]: https://www.onechronos.com/docs/fix/fix-42/

Re: Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities

#42
post #15

Auctions, deep learning, formal methods and discrete optimization, it seems like you got my list of things I want to learn and turned that into an amazing solution for a giant problem. Congratulations to the team, will be watching from afar and rooting for you!

All of our favorite things as well :)

Re: Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities

#45
post #21

What is your SLA for an expressive bid? I'm guessing it its less than 1ms? Do you use a database of some sort? How do you to handle settlement? How do you handle ingest?

> What is your SLA for an expressive bid? I'm guessing it its less than 1ms? The optimization procedure (which includes bid evaluation) is ~30ms. We cycle bound (under a formal model of computation via function application and graph reduction) computation of bidders to ensure that everyone shares an identical and deterministic resource cap. > Do you use a database of some sort? Not as part of the real-time trading sy…

Could you use something like this to not rely on Stratum 1 clocks or have this as a backup? https://www.datacenterdynamics.com/en/news/facebook-creates-...

Re: Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities

#46

Loved this from the first time I saw it some years back (became part of my example list of innovations out there)! Finally, some advanced auction mechanisms going broader. From the description above: are you guys then just selectable as an algo/ATS going through through a broker, i.e, there could be a natural "sweep" (bit like algos covering block interest in some cases)? Do you work with some big broker-dealers on i…

> are you guys then just selectable as an algo/ATS going through through a broker, i.e, there could be a natural "sweep" (bit like algos covering block interest in some cases)?

Yes. Some brokers are incorporating us into their algo suite, others are offering us as a direct route, and most are doing both.

> Do you work with some big broker-dealers on integration?

Yes! We're excited to be launching with many of the household names, and most have plans to connect by early H2. We'll be updating our website with a list of launch partners in the coming weeks as part of our full launch announcement (the HN fam is hearing it first).

> I know you started out with equities, but bond portfolio transitions are a much bigger pain - any plans there? Or issuance, i.e., mix of funding instruments in one go?

Getting to this world state is our real passion. Imagine a fund manager running a cross-geography equities and a credit book. Any trade they want to do will involve rates and currency risk on top of the actual delta. We want to make it easy to, say, sell some European debt issuances in euros to fund a US equities position in dollars while re-hedging curve risk, all as part of one atomic and frictionless transaction with a pre-trade known cost basis.

Re: Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities

#47
post #46

Loved this from the first time I saw it some years back (became part of my example list of innovations out there)! Finally, some advanced auction mechanisms going broader. From the description above: are you guys then just selectable as an algo/ATS going through through a broker, i.e, there could be a natural "sweep" (bit like algos covering block interest in some cases)? Do you work with some big broker-dealers on i…

> are you guys then just selectable as an algo/ATS going through through a broker, i.e, there could be a natural "sweep" (bit like algos covering block interest in some cases)? Yes. Some brokers are incorporating us into their algo suite, others are offering us as a direct route, and most are doing both. > Do you work with some big broker-dealers on integration? Yes! We're excited to be launching with many of the hou…

Thank you! I reckon the fully integrated world also will need some sort of "darkness" layer (in parts) to not warp liquidity and quotes too much for the less liquid things - but I can see the tech and algorithms for that being there already , just not used much.

Looking forward to reading the full launch announcement!

Re: Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities

#48
post #21

Earlier quoted context omitted.

> What is your SLA for an expressive bid? I'm guessing it its less than 1ms? The optimization procedure (which includes bid evaluation) is ~30ms. We cycle bound (under a formal model of computation via function application and graph reduction) computation of bidders to ensure that everyone shares an identical and deterministic resource cap. > Do you use a database of some sort? Not as part of the real-time trading sy…

Could you use something like this to not rely on Stratum 1 clocks or have this as a backup? https://www.datacenterdynamics.com/en/news/facebook-creates-...

We're following the project with interest, but for now, we're focused on directing engineering resources to other portions of the stack. FWIW our approach is in the low nanos of precision and accuracy, which puts us within spitting distance of the Nyquist criterion for never aliasing two packets to the same timestamp (thus losing a total ordering) at line rate 10G. That's massive overkill for our purposes (auctions 100ms apart), but it's a satisfying property nonetheless :)

Re: Launch HN: OneChronos (YC S16) – Combinatorial auctions market for US equities

#50

Can you talk about the regulatory issues that you faced and had to solve before launching?

We needed to work through the FINRA BD and SEC ATS-N registration process, and the latter is a requirement that went into effect well after we got started on OneChronos. We're pleased with how both went, and we chose US equities as a beachhead precisely because of how sophisticated the regulatory framework is. That said, it's quite the process, both time and resource-wise. We'll have to work through similar processes to pursue other asset classes and geographies. Doing so is core to our mission of making portfolio level transactions frictionless cross-asset and cross geography.

You can read our ATS-N here: https://www.sec.gov/Archives/edgar/data/1692652/000169265220...

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