Understanding and Improving Temporal Fairness on an Electronic Trading Venue

摘要

Fairness, in general, is a topic that has received much attention in research on distributed systems. In their application as electronic trading venues, however, temporal fairness remains a topic that is poorly understood. This is concerning because operators of these venues generally have obligations to ensure their fairness. Consequently, this paper (1) describes what temporal fairness is and is not, (2) identifies things that can make it elusive, and (3) describes a mechanism for improving it that was recently retrofitted to a major FX trading venue: Thomson Reuters Matching.