Content and timing of public information in markets

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Content and timing of public information in markets

grampajohn
Administrator
In the prototype server, as I understand it, every bid (called a "shout") was broadcast to all brokers as soon as it arrived in the server. The market then attempted to match it, which could have resulted in an updated position. Finally, a portion of the orderbook (the outstanding unmatched bids) was sent out to all brokers. Of course brokers are at the ends of variable-latency channels and so they get these updates at different times. This was for a CDA (continuous) market; the deleterious effects of this latency on the working of the market in a heavily time-compressed simulation, as well as the fact that in many jurisdictions these markets are cleared periodically (I believe it's once/timeslot in the FERC markets), has led us to move to a periodic double-auction mechanism.

The question we need to resolve is what information gets sent to brokers, and exactly when? Do brokers get to see all the bids before the market clears? Do they get to see all the bids at all, or just the uncleared bids? Do uncleared bids get carried over if the timeslot remains open in the next period?

Perhaps Mathijs should weigh in on this. Any thoughts?

John