Comments on: Wall Street's version of a combinatorial market http://blog.oddhead.com/2009/03/03/wall-streets-version-of-a-combinatorial-market/ Musings of a computer scientist on predictions, odds, and markets Thu, 09 Feb 2012 08:47:34 +0000 hourly 1 http://wordpress.org/?v=3.3.1 By: Ricky http://blog.oddhead.com/2009/03/03/wall-streets-version-of-a-combinatorial-market/#comment-1399 Ricky Thu, 03 Dec 2009 17:28:34 +0000 http://blog.oddhead.com/?p=174#comment-1399 Very interesting. I have a TD Ameritrade account and never noticed the conditional order options before. It seems like they may be very useful. Very interesting.

I have a TD Ameritrade account and never noticed the conditional order options before. It seems like they may be very useful.

]]> By: David Pennock http://blog.oddhead.com/2009/03/03/wall-streets-version-of-a-combinatorial-market/#comment-403 David Pennock Sun, 05 Apr 2009 11:45:06 +0000 http://blog.oddhead.com/?p=174#comment-403 Thanks FoolsGold. I looked up Fill or Kill orders and this also came up in a recent presentation I gave. Indeed, this is getting close to what I want, but not fully there. From what I understand, Fill or Kill type orders either must be filled immediately or are canceled. They cannot stay in the order book queue. Thus the exchange can process the order individually and either accept or reject it on the spot. The exchange does not need to examine more than one "FoK" order at a time. A true combinatorial exchange would allow bundle bids to persist, would be able to match one bundle bid against another, and would be able to give proper price quotes that take into account bundle bids in its queue. Thanks FoolsGold. I looked up Fill or Kill orders and this also came up in a recent presentation I gave.

Indeed, this is getting close to what I want, but not fully there. From what I understand, Fill or Kill type orders either must be filled immediately or are canceled. They cannot stay in the order book queue. Thus the exchange can process the order individually and either accept or reject it on the spot. The exchange does not need to examine more than one “FoK” order at a time.

A true combinatorial exchange would allow bundle bids to persist, would be able to match one bundle bid against another, and would be able to give proper price quotes that take into account bundle bids in its queue.

]]> By: FoolsGold http://blog.oddhead.com/2009/03/03/wall-streets-version-of-a-combinatorial-market/#comment-402 FoolsGold Wed, 04 Mar 2009 19:18:43 +0000 http://blog.oddhead.com/?p=174#comment-402 What about Fill or Kill orders? A "Fill or Kill" for every combination would approach a truly Combinatorial Bid. If the agent then listed all the Kills, it could automatically re-submit them so as to approach the functionality of a Combinatorial Bid. I don't know if the 'browse in the morning, buy in the evening' scenario actually holds true particularly since its always "morning" somewhere and a bid could be coming in thru some workload balancing system that uses geographically remote servers during busy periods on the internet. I don't know how much someone might bid for a search term such as "earthquake preparedness" but I don't think the amount would need fine tuning by time of day. What about Fill or Kill orders?
A “Fill or Kill” for every combination would approach a truly Combinatorial Bid. If the agent then listed all the Kills, it could automatically re-submit them so as to approach the functionality of a Combinatorial Bid.

I don’t know if the ‘browse in the morning, buy in the evening’ scenario actually holds true particularly since its always “morning” somewhere and a bid could be coming in thru some workload balancing system that uses geographically remote servers during busy periods on the internet.

I don’t know how much someone might bid for a search term such as “earthquake preparedness” but I don’t think the amount would need fine tuning by time of day.

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