tloinuy

Agree with the combinations being more ephemeral outside of futures and options markets. I do wonder how much liquidity will exist for these combos, since even some of the popular structural ones don't have a ton of volume.

Regarding the last point, let's say hypothetically you create a market for "+100 FB shares, -500 SNAP shares". If everyone is competing on price to quote that combination, that creates the most competitive market. However, if there are many expressive bids with various conditions (e.g. minimum quantities, conditional on execution of another leg, etc), they may not get "implied" into creating a reasonable market, creating exponentially more arbitrage opportunities if they become locked/crossed. This adds a lot more complexity in calculating implied markets and matching them in a sensible way. With price-time priority, I agree that there are downsides as you mentioned, but it makes it easier to ensure the tightest spreads.

Congrats on the launch! What are the main benefits of this approach compared to creating additional combo (multi-leg) products on existing exchanges?

There are already a lot of mechanisms in traditional markets that deal with revealing or concealing true demand (e.g. block trades, icebergs, etc). Market-maker protections can allow outstanding orders to be cancelled if you get filled up to a predetermined risk setting. Most exchanges don't want to add additional complexity and more order types unless there's demand for it, which is presumably how market structure evolved to where it is today.

Combinatorial auctions are very interesting, but what's to stop exchanges from (1) creating more common bundles that people want to trade; (2) matching them with price-time priority so everyone gets a fair price? Wouldn’t the auction model just create wider or locked/crossed markets?