Couldn't agree more on the mechanism design front. There are so many dimensions to the problem - especially for US equities - that the design becomes quite nuanced and tradeoffs have to be made somewhere or other. The duration aspect of waiting for trades to be matched (and for liquidity to accumulate) is an especially challenging one in fast financial markets.
I'm curious if you've come across OneChronos (upcoming US equities ATS - I'm a founder there along with @lpage; disclaimer). A lot of what you describe is baked in as a goal of our auction design. Most importantly, drawing out liquidity by incentivizing truthful bidding and allowing people to encode things like substitutability. We try to do that by giving people the tools to express their full intent to the venue[1]. Don't wanna get any more salesy than I already have here, but I always like to get points of view from other practitioners.
I'm curious if you've come across OneChronos (upcoming US equities ATS - I'm a founder there along with @lpage; disclaimer). A lot of what you describe is baked in as a goal of our auction design. Most importantly, drawing out liquidity by incentivizing truthful bidding and allowing people to encode things like substitutability. We try to do that by giving people the tools to express their full intent to the venue[1]. Don't wanna get any more salesy than I already have here, but I always like to get points of view from other practitioners.
[1]: https://www.onechronos.com/docs/expressive/