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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

#101

Post by lpage »

vamega wrote: post #98
lpage wrote: post #93

Earlier quoted context omitted.

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 abili…

I won't pretend to understand all of this. Despite having worked in systematic equities trading group, I don't have a deep understanding of market micro-structure. I do appreciate your responding to my question. I find the technology and ideas you're bringing to market incredibly fascinating. I can't wait to see what comes of this!

Thanks! I'll say that a key design goal of ours is to make it so that PMs/asset managers/execution traders running complex books don't have to think about microstructure. Today's markets and the algorithmic trading stacks surrounding them are enormously complex. Smart Markets and multiunit auctions trade external complexity and internal simplicity (the existing double auction world) for external simplicity/usability and internal complexity (the computational challenges of combinatorial auctions).

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

#102

Post by lpage »

henning wrote: post #100

I don't understand what you do but congratulations on not dying despite the apparent difficulties that have occurred thus far. Many would have given up.

Thanks! We're quite fortunate in that we always knew roughly where we needed to get to from a technical, business, and regulatory standpoint, so actually getting there was just a long hike on a mostly known path, one step at a time.

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

#103

Post by oars »

xxbondsxx wrote: post #9

For those who want a rough programming analogy here -- this sounds like support for multi-row transactions in a SQL database where only single row edits were allowed before. Now you can describe "buy goods A and B at $10 maximum, commit" and have the transaction either succeed or fail. Before you had to edit those rows individually and there's risk that you end up in a weird partial state, hence having to lower your…

Fantastic analogy, thanks.

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

#105

Post by monkeydust »

lpage wrote: post #74
monkeydust wrote: post #58

Earlier quoted context omitted.

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 w…

Thanks. It is worth noting a lot of traditional OTC products since 2008 crisis have moved to either electronic (exchange, ATS, MTF etc) with CLOB/RFQ/Auction style of execution and in some causes that's coupled with central clearing. A lot of this has come from regulation - DoddFrank, MiFID2 and its still on-going.

The most interesting aspect of this is that its enabled non-dealer non-dealer trading via certain venues.

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

#106

Post by 55555 »

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.

Watch the video on their website. It will help you to understand. How useful it will prove to be is yet to be seen.

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

#107

Post by spoonjim »

xxbondsxx wrote: post #9

For those who want a rough programming analogy here -- this sounds like support for multi-row transactions in a SQL database where only single row edits were allowed before. Now you can describe "buy goods A and B at $10 maximum, commit" and have the transaction either succeed or fail. Before you had to edit those rows individually and there's risk that you end up in a weird partial state, hence having to lower your…

Thanks for the TLDR I was never going to make it through their Bastille of text

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

#110

Post by lpage »

__d wrote: post #109

Sounds very interesting -- congrats on making to here, must be super exciting. A couple of questions: How do you deal with best execution obligations for the "legs" of your trades? What market data do you publish about your order book?

> How do you deal with best execution obligations for the "legs" of your trades?

Excellent question. Each leg of the trade comes in as an individual limit order with a price/quantity bound on it. This makes it easy for brokers to satisfy their 15c3-5 requirements since Expressive Bidding can only further restrict these limits. We clear the auction with a constraint that bounds the clearing region to the NBBO, snapshotted at the start of each auction. Rule 611 affords up to 1s if the market moves while we're optimizing, and away market movement has no average effect on execution quality, as auction start times are random and orders are firm.

In the future, we'll do ISO sweeps, but their usefulness is somewhat limited since getting fills from a sweep can change what's feasible for the auction. As we gather data on how folks use us, we'll hone on other regulatory options.

> What market data do you publish about your order book?

We report fills to the TRF to satisfy regulatory reporting requirements, but we're entirely dark otherwise.

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