tonyk Your proposed changes make sense, but continuous monitoring is much more complex than sampling*. What does it capture that sampling can't? And what if samples were e.g. 15 mins apart?
@roadscape
OK, how about a middle ground - taking the snapshot every 10 (20, 30 whatever) minutes BUT also reading the filled orders in that period and using them for the calculation[effectively adding them to the orderbook like they were not filled]?
We can do 2 diff things - either credit them for the whole time period or really check when they were placed and filled and credit them with the correct real time they were on the book.
####
thisTimeIntervalStart = now() - 10 min
For each filled order in time [now, thisTimeIntervalStart]
T = OrderFillTime - max(OrderPlacementTime, thisTimeIntervalStart)
order_total = size of the Filled Order
####
My question is, what scenario are you trying to avoid (or create) by doing this?
If your order is on the books for 120 mins, and is *completely* filled at minute 125, you would not get credit for those last 5 minutes (assuming 10-minute snapshot interval). To me this doesn't seem like a problem.
If you expect orders to be on the books for less than 10 minutes at a time, I could see why we would need to be tracking this more detailed order activity.
My original line of thinking was a simple "sharedrop" of points onto order book participants at a regular interval.
My assumptions for MM subsidies:
1) The actual market activity doesn't matter nearly as much as creating a nicely-shaped order book.
2) 'Sampling' the order book every ~10 minutes is at least 95% as accurate as analyzing continuous data.
Obviously (I thought), I am trying to avoid orders being on the order book for 30% -99% of the time between sample taking, and such orders getting no credit at all. To say nothing about such orders being filled first, means they had the best prices of all orders!!!
The less the time between sample taking the less an issue this becomes, but your original proposal was every 1 h. (way too long in my view). The smaller the time between each sample taking the less an issue it is. (so if you cut it to 3-5-7 min, this is a one way to do it)
Yet, again the proposed solution will yield ' near perfect'* results even if you sample far less frequently... and the computations involved seem to take not too much recourses.
* It is not perfect, cause if you sample once every hour, you should also credit the "placed and subsequently cancelled" orders, meeting all other criteria, in that time frame.
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