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

Don't know if this is accurate but the entire online stock brokerage industry revenue appears to be about $14B.

That seems like a significantly lower upper bound to the market size here.

That said, what seems interesting here is to come up in advance with many potential arbitrages, and load them in advance for fulfillment if they occur. Risky but interesting than having to roll your own complex tool for this.

https://www.ibisworld.com/industry-statistics/market-size/on....

Speaking more broadly than capital markets, it can result in more economically efficient outcomes, especially when some economic agents create disproportionately large negative externalities for others.

For OneChronos, we're a uniform price clearing mechanism that will eventually support submarkets, which can enable (among other things) what's effectively a mutual opt-in repeated play game of reputation and the ability to bid based on reputation. So we don't support any form of price discrimination at present, and what we will eventually support has the nuance to it that both parties chose to opt-in (and Expressive Bidding means that they can bid in multiple submarkets simultaneously without exposure risk). This induces a meta-game of sorts — a market for reputation. We're including it as a cleaner and more transparent version of existing behaviors with the efficiency gains to go with it.

Question: If I just want to buy one stock, would I expect a better price from you or from a normal venue (both empirically/in reality on the one hand, and theoretically on the other)?

Thanks, and with you 100%. That's why we've invested heavily in a more technically challenging for us but better for the end-user approach to Expressive Bidding. It's also worth noting two failed attempts at smart(er) markets—OptiMark and POSIT4. Both were ahead of their time and a little off the mark in aligning the mechanism with trader needs, but poor usability/high degrees of user-facing complexity didn't do them any favors.

> Conditional and contigent orders have been around for a decade+.

Conditional orders are a real testament to priorities shifting away from concerns over information leakage/fairness and towards concerns about how to get liquidity in an increasingly fragmented landscape. They're a nasty bandaid solution for routing opportunity cost.

> Options exchanges have complex order books

CLOBs for options and implied order books for futures dealt with some limited forms of exposure risk and proved a big boon for both markets, but they're also a bandaid solution (pre-defined packages and in some cases HFT scale legging risk and no ability to deal with substitutability or side constraints). We're excited to see what gains the general approach (combinatorial auctions unlock).

> Supply/Demand curves have been modeled in cryptocurrency smart contracts like Uniswap.

> Clearly this idea is different and novel but borrows somewhat from all these concepts.

While I agree with you that these are not new ideas, I'd phrase that a little differently and credit the actual inventors. Milgrom, Wilson, McAfee, Cramton, Ausubel, and too many others to name pioneered the theory and practice of multiunit and combinatorial auctions and, by extension, all of these concepts. Except for conditional orders, which make mechanism designers cry. There's truly nothing that better highlights the tragedy of the commons that is market fragmentation.

Anything involving the phrase "better price" is a regulatory sensitivity, so please forgive the specificity of this answer. It's possible but not guaranteed that both the buyer and seller can get a better price for micro and macro reasons. On the micro front, we're a uniform clearing price auction with prices out to the sixth decimal place (NB: this is not sub-penny pricing—we only accept orders with prices in increments of $0.01). That makes it possible for buyers and sellers to split the spread, with auction dynamics dictating the split. Also, Expressive Bidding allows market makers to provide liquidity on a hedged basis, potentially incentivizing them to post more aggressive sizes and prices.

On the macro front, we're focused on finding Pareto (more accurately Kaldor–Hicks) efficient outcomes missed by simpler auction formats. Imagine that a buyer expects to move the market 5bps while executing, and a seller expects the same. If agency issues prevent them from finding each other outside of OneChronos (perhaps they only have 2bps of statistical expectation) and they trade on OneChronos at the bid/mid/offer, the reader can decide if that constitutes getting a better price than other markets or not. Multiunit auctions make market impact/execution risk known pre-trade and reduce uncertainty for counterparties, potentially reducing the cost of liquidity.