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Quantitative Finance · Begrippenlijst

Wat is Bet delay?

Definition 26.2 Market Making and High-Frequency Trading · Hoofdstuk 26 — Prediction and Sports Market Making

A bet delay is the time a betting exchange holds an in-play order before it can match, so that market makers can cancel their quotes after an event before orders placed on knowledge of the event reach them; it is an asymmetric speed bump (chapter 9) for sport.

The race after a goal: a courtsider at the ground sends an order after half a second; the exchange holds it for the bet delay; the market maker’s feed reports the goal after about three seconds and it cancels at once. With a three-second delay the maker’s cancel, at 3 seconds, lands before the order can match, at 3.5; with a two-second delay it does not. Latencies vary around these medians. Source: this chapter.
Figure 26.2. The race after a goal: a courtsider at the ground sends an order after half a second; the exchange holds it for the bet delay; the market maker’s feed reports the goal after about three seconds and it cancels at once. With a three-second delay the maker’s cancel, at 3 seconds, lands before the order can match, at 3.5; with a two-second delay it does not. Latencies vary around these medians. Source: this chapter.
The market maker’s loss per goal to courtsiders and the share of goals on which they reach its stale quote, against the exchange’s bet delay; 2 000 simulated matches (5 241 goals), courtsiders half a second and the maker three seconds after each goal (lognormal). Data: hf_sports.by_delay.
Figure 26.3. The market maker’s loss per goal to courtsiders and the share of goals on which they reach its stale quote, against the exchange’s bet delay; 2 000 simulated matches (5 241 goals), courtsiders half a second and the maker three seconds after each goal (lognormal). Data: hf_sports.by_delay.
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