Liquid speed: A micro-burst fee for low-latency exchanges

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2023-06-01 DOI:10.1016/j.finmar.2022.100785

Michael Brolley , Marius Zoican

引用次数: 0

Abstract

A micro-burst fee on liquidity-taking orders that surges during high-frequency races reduces costs associated with latency arbitrage. Moreover, micro-burst fees provide higher revenue for exchanges versus co-location subscriptions. Unlike co-location fees, micro-burst fees scale with trading activity and allow exchanges to extract higher revenues from HFTs. To ensure long-run adoption incentives for exchanges, a regulator should impose a cap on micro-burst fees; for example, a calibration suggests that liquidity improves with a micro-burst fee as low as 7.8 bps, while a Reg NMS cap on fees of 30 bps per share would improve liquidity by 75%.

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液体速度:用于低延迟交换的微突发费用

在高频比赛中激增的流动性接受订单的微爆发费降低了与延迟套利相关的成本。此外，与异地订阅相比，微爆发费用为交易所提供了更高的收入。与异地交易费用不同，微爆发费用随着交易活动的增加而增加，并使交易所能够从高频交易中获得更高的收入。为了确保交易所长期采用激励措施，监管机构应该对微爆发费用设定上限；例如，校准表明，微突发费用低至7.8个基点会提高流动性，而Reg NMS对每股30个基点的费用上限将使流动性提高75%。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.