John O’Hara discusses banking business and technology integration, covering: low-latency, high-frequency trading, in-memory caches, multi-terabyte time-series databases, complex contracts in NoSQL stores and advanced systems integration.
John O’Hara is an established innovator in financial services technology. He has 20 years experience delivering technology solutions across all banking asset classes and their associated business processes. John has written for publications as diverse as ACM, The Banker and Waters and spoken at events including QCon, Trading Architecture, FinExpo and Google Tech Talks.
Software is changing the world; QCon aims to empower software development by facilitating the spread of knowledge and innovation in the enterprise software development community; to achieve this, QCon is organized as a practitioner-driven conference designed for people influencing innovation in their teams: team leads, architects, project managers, engineering directors.
I have been wondering: Why do exchanges have to work on a first-come-first-serve basis?
An alternative system could be where exchanges take in a set of buy and sell orders and do the matching at a regular cadence, e.g. every five minutes on the clock. The matching would be done on some type of a fair, randomized basis (not by whose order was in first).
I believe the ultimate clients will actually prefer this approach. Also smaller investors will not be at a disadvantage as there should be no theoretical advantage to colocating servers next to the exchange (which only the wealthy can affoard).
I suppose its not in the interest of current exchange owners to go to such a system as they make money on selling fast access. However this could be a market opportunity. Time to hit Kickstarter!
Thanks for the support on AMQP :-)
As for the exchange question, it's a good point well made and occasionally discussed in the industry.
If only one exchange did as you propose but traders believed (or proved) that their algorithms (buy or sell side) could extract more value at 'traditional' venues then the new kind of venue would not thrive. For retail investors your proposal does seem desirable but for the volume players less so. There may even be arbitrage opportunity to be had with such 'windowing' exchanges if they were subjected to detailed analysis.
Instead the regulators attempt to assure fairness by monitoring the outcomes though regulations like MIFID etc.
Definitely a good question.