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

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

#71

Post by zitterbewegung »

lpage wrote: post #48
zitterbewegung wrote: post #45

Earlier quoted context omitted.

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 1…

Well other than GPS being unavailable right ?

Another question are your looking into having same day settlement?

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

#72

Post by firstfewshells »

I will consider myself an accomplished person the day I'm able to understand this post :)

No offence but tbh, when I read through this, I felt a deja vu of coming across another Theranos. Some super innovative sounding complex tech which ultimately turns to be a total dud.

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

#74

Post by lpage »

monkeydust wrote: post #58
lpage wrote: post #3

Earlier quoted context omitted.

> This seems like really deep technology. That it is! > What is the one sentence describing who would use this and why though? Today's market structure costs institutional investors (and by extension households) at least a trillion dollars annually (and Smart Markets hold the potential to eliminate that loss).

How does this sit with other innovations such as all to all trading in OTC markets that are designed to match many buyer/sellers at, for example, a mutually beneficial mid price?

The products that still trade predominately {OTC, bilateral, non-electronic} do because non-price factors, trading conventions, and counterparty risk make it difficult or impossible to trade on a central exchange. Expressive Bidding and a mechanism that allows for matching market dynamics (OneChronos) will enable electronification and more active trading in these markets. Ten years ago, I would have said that there were commercial headwinds against this (dealers wanting to trade bilaterally). With banks increasingly focused on repeatable and less variable trading revs, such is no longer the case. The unsuitability of such products for double auctions is the limiting factor.

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

#75

Post by sjbase »

throwmeawaysoon wrote: post #56

poking around on your socials, it seems like you've been building for ~5 years, and are just now officially launching, after i guess a capital injection from yc. since the core ip is "deep" as you say, i'm guessing it cost quite a bit to develop, unless you built out all of the components yourself, which, while possible, seems unlikely given the technical complexity of each piece (you, and whoever else is on the engi…

> capital injection from YC

We raised a series A in 2019 led by Green Visor (who has been excellent btw, and with us from the start)

> it seems like you've been building for ~5 years ... i'm guessing it cost quite a bit to develop

Yep, you're spot on that it's a complex product. The biggest cost has been making it feel for the user like it's not. What that boils down to is an enormous amount of iterative feedback and development w/ the industry. Between that and the regulatory process, a lot of the "cost" has been more duration than cash burn. We've kept things lean from the start in anticipation of that.

> unless you built out all of the components yourself

We've developed the tech in house, with some hands on help from our friends at Imandra mentioned in the OP. On the research piece: that's been happening in the background for many years, and we're definitely building on the shoulders of giants in the worlds of mechanism design, algorithmic game theory, and deep learning. We're lucky to have some great academic advisors involved (like Kevin Leyton-Brown since the early days) as well.

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

#76

Post by lpage »

firstfewshells wrote: post #72

I will consider myself an accomplished person the day I'm able to understand this post :) No offence but tbh, when I read through this, I felt a deja vu of coming across another Theranos. Some super innovative sounding complex tech which ultimately turns to be a total dud.

We're simply standing on the shoulders of giants for this one. Paul Milgrom and Bob Wilson, winners of the 2020 Prize in Economic Sciences, are responsible for the underlying theory and commercialization in other industries. My advisor, Preston McAfee, introduced me to the concept (Milgrom's book was the auction theory text) and was largely responsible for bringing mechanism design to ad markets. Lots of folks are applying machine learning to accelerating discrete optimization problems, and an advisor of ours, Kevin Leyton-Brown [2], pioneered applying it to combinatorial auctions for wireless spectrum repacking.

Our value add is mainly a team that understands these fields and the extreme nuance of capital markets. That's allowed us to generate novel IP and a purpose-built solution.

[1] https://www.nobelprize.org/prizes/economic-sciences/2020/sum...

[2] https://arxiv.org/abs/1706.03304

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

#77

Post by KiranRao0 »

Very cool market. This feels a lot like multi-leg option execution.

How do you think market makers are going to react to this? It makes sense for them to provide a bid/ask on individual series, but how do you see them providing liquidity for these more complex orders?

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

#78

Post by lpage »

jdhn wrote: post #73

>Furthermore, bidding in combinatorial auctions can be challenging in both a computational and UX sense. Can you elaborate on how it's challenging in a UX sense? I'm curious to know what the challenges are.

How bidders communicate bids to the auctioneer (the bidding language) is a central concern for any auction. It's pretty straightforward for unit good auctions (I'll pay $5 for A or I'll sell B for $4), but combinatorial auctions involve arbitrary packages of goods; the set of all possible bids is the powerset of the goods being auctioned. Having bidders attach a value to each package is both a computational impossibility for anything more than a few goods and a "UX" nightmare. For example, a bidder that wants to buy A for at most $5 in a market for goods A and B with free disposal (meaning you'll take something extra if it's free) needs to enter the bid ({A, $5}, {AB, $5}).

Information theory tells us that no universal bidding language (there's a representation of any package of interest) is uniformly more compact than the power set representation. Nonetheless, a good bidding language makes "common" bids compact and easy to communicate. We thought about this problem deeply and realized that functionally pure computer programs mapping proposals (packages of goods) to valuations (how much the bidder will pay or would want to receive) are about as natural as it gets. There's a direct analog in asking a human or a pricing algo for a price in a bilateral trade setting. However, our optimizer doesn't know what to do with an arbitrary computer algorithm, and exhaustively querying one to get the power set of prices out is computationally infeasible. However, using formal methods, we can (in the right setting) convert a computer program into an equivalent representation in a logic fragment called mixed integer real arithmetic. And that (via SMT solving) is something that an optimizer can work with.

You can see what Proxy Bidders (the pure functions that create expressive bids) look like here [1].

[1]: https://www.onechronos.com/docs/expressive/bidding-guide/#in...

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

#79

Post by throwmeawaysoon »

sjbase wrote: post #75
throwmeawaysoon wrote: post #56

poking around on your socials, it seems like you've been building for ~5 years, and are just now officially launching, after i guess a capital injection from yc. since the core ip is "deep" as you say, i'm guessing it cost quite a bit to develop, unless you built out all of the components yourself, which, while possible, seems unlikely given the technical complexity of each piece (you, and whoever else is on the engi…

> capital injection from YC We raised a series A in 2019 led by Green Visor (who has been excellent btw, and with us from the start) > it seems like you've been building for ~5 years ... i'm guessing it cost quite a bit to develop Yep, you're spot on that it's a complex product. The biggest cost has been making it feel for the user like it's not. What that boils down to is an enormous amount of iterative feedback and…

>We've developed the tech in house

i'm not often impressed but that's quite impressive. kudos to you.

i currently work on deep learning compilers (as a phd student) but i'm interested in basically all of these things (compilers, combinatorial optimization, auction theory). i know lpage expressed that you're hiring but i'm curious what roles you're hiring for (your careers page is light on details).

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

#80

Post by lpage »

KiranRao0 wrote: post #77

Very cool market. This feels a lot like multi-leg option execution. How do you think market makers are going to react to this? It makes sense for them to provide a bid/ask on individual series, but how do you see them providing liquidity for these more complex orders?

Some EMMs are excited to leverage Expressive Bidding to quote more size with less risk. For example, I'll bid 200 shares of XYZ @ $10.00 XOR {1,000 shares ABC @ $9.99, -500 shares (beta hedge) DEF @ 19.98}.

Folks also plan on using Expressive Bidding to enter other business lines that high startup costs or low margin (ex ongoing technology costs) previously kept them out of.

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