it wont be exploitable due to the time constraints. its obvious few here truly understand how the hft operate or how the batch auctions operate. they are much more fair. its almost a random distribution during the batch so your fifo doesnt matter as much during the 100 milliseconds. u just get a very good price sometimes most likely enough to try n stop hft gaming. drw was mentioned and most hft like them are looking to own exchanges. its coming a decentralisation of futures. i give it 3 years
What’s a very good price? I assume your order will wait for up to 100ms to be crossed. If the time of auction is not randomized, sounds to me like good opportunity for HFT to game it.
You and I both know that this is just CBOEs attempt to recycle in the US some of the effort they've put into implementing periodic auctions on CBOE Europe exchanges. It's obvious why this is happening in Europe, as MIFID-II has mandated periodic auctions as a way of force-migrating everyone to lit markets (to everyones bitching and moaning); however, I am dubious of the value of periodic auctions on a stand-alone exchange within the Reg NMS framework. Several asian exchanges have periodic auctions (Taiwan, for example). So there is nothing new about this approach and most HF market makers already have working approaches to auction participation. While it's impossible to play the usual queue games, there are interesting approaches to cross-security signals that work within the auction framework. PS. HFT is a very diverse set of participants and only a relatively small set plays pure latency games. I'll gladly take the other side of that bet. The whole idea of a futures product (from the exchange perspective) is that it's a derivative that is proprietary to the exchange. This way, everything is a profit source - the market data, trading fees, clearing and settlement etc. An ideal situation is where the full life cycle of the product, including the settlement at expiration resides on a single exchange. For example, the exchange then can jack up the fees and everyone will grumble but eat it up (cough..cough...CFE...cough..cough). Since futures are a derivative, there is national listing body like there is for stocks and there is no national fungibility requirements. I.e. CME, for example, would never even consider cross-listing any of their successful products. Instead, other futures exchanges would be trying to create competitive products which, in general, will be dead on arrival (once liquidity lives somewhere, it's very hard to move it even if the incentives appear to be there).
I agree for this the periodic auctions to work in terms of curtailing HFT, they will have to be randomized and not a fixed time interval otherwise it would definitely be gamed. Will be looking forward to see how it works out.