That sounds like a complex solution. Sometimes a dumb solution that works good enough is better than a complex solution that _probably_ can't be exploited.
It's complex on one end to reduce complexity on the other -- the trading companies wouldn't have to worry about millisecond optimizations if they trading batches were 200ms windows. So the wire lengths wouldn't matter but also not mattering is the processor, memory, software, etc. for the trading companies. Seems like a good tradeoff.
And honestly the wire thing probably isn't real. Light moves 30cm in a nanosecond. The wire lengths could be 3 meters different and only make a 10ns difference. Not sure that would matter all that much.
I used to work in HFT. I promise you that companies would still try to exploit randomized batches. There is an advantage to being the very last entrant into a batch (most up to date information). Truly random batches are not trivial to implement and any statistical pattern in the batching could be exploited.
"Truly random batches are not trivial to implement and any statistical pattern in the batching could be exploited."
If an HFT manages to exploit a correctly implemented entropy-pool random number generator using AES-256 to extend the stream as needed, they're welcome to pick up a few more bucks as far as I'm concerned.
Yes, problems have existed before but I'm sure in this case we can assume high-assurance and careful programming, not some fresh grad being assigned the problem and thinking linear congruential generators sound really cool.
Wait, come back, I'm serious! Finding an arbitrary hash of adjustable complexity is a scalable solution to batching transactions across multiple servers with a consistent throughput.
I think it just moves the goal post of the problem. If I now have a 200ms window, then I need to optimize for that 200ms cutoff. I want to do as much work as possible while _still reaching the cutoff_ and so minimization of "non work" still matters. Not only that, but now you incentivize filling up that 200ms with 200ms of analysis.
You could, but then if say the delay is 439ms, then you'll sit idle for 239ms. It would make more sense from a game theory perspective to simply process for as long as necessary and then place the order.
