HFT, Sequence Fuzzing, Randomness, and Repeatability
High frequency trading has popped up again on Hacker News with a couple of stories, "Is the U.S. stock market rigged? (cbsnews.com)[1] " and "U.S. stock markets are rigged, says author Michael Lewis (reuters.com)[2] ". As I've mentioned previously, HFT is something that troubles me, both on its own merits and on the statements of others (Warren Buffett, Mark Lewis, and others have criticized it strongly).
One solution that's occasionally mentioned is for either discrete-step trade processing, or randomly assigning lags to orders, with the fuzzing interval being such that HFT operators couldn't be assured of a timeslice within their range of advantage -- prehaps 1-10 seconds (this for a practice which relies on sub-milisecond timings).
And so I suggest a possible replayable yet gaming-resistant fuzzing mechanism.
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