Nanex Gets $700k Whistleblower Award from SEC

Post by msellout » Wed, Mar 02, 2016, 8:16 PM UTC

tptacek wrote: post #15

tsunamifury wrote: post #9

So essentially the NYSE is a provably fixed game, with large HFT houses paying for the right to trade on non-public information, and it hides behind the idea that it was just a few hundred milliseconds. All the while they are selling non-public information as a product that is deliberately used to micro-manipulate the market? I mean, deep down I always knew this, but to have it all spelled out is shocking because it…

So, no? From 2008-2012, if you paid NYSE (one of like 15 different exchanges that trade NYSE-listed stocks) for a proprietary feed --- something that costs more than most idle home day traders can afford, but would be affordable by any YC startup --- you were getting an edge in competing with other electronic trading systems . If you were a retail investor or a mutual fund, what NYSE was doing probably didn't impact…

Post by tptacek » Wed, Mar 02, 2016, 8:51 PM UTC

kpkp wrote: post #104

Except the NBBO was often stale (on purpose), so you were getting what was wrongly quoted as the NBBO by selling to an HFT who knew that the actual BBO was better, allowing them to arb on that knowledge. That said, a substantial portion of your posting history consists of you being dishonest about the value extracted by HFT (value that is actually created by others), so I'm not surprised that you are lying about the…

Post by tptacek » Wed, Mar 02, 2016, 8:53 PM UTC

zekevermillion wrote: post #120

tsunamifury wrote: post #9

So essentially the NYSE is a provably fixed game, with large HFT houses paying for the right to trade on non-public information, and it hides behind the idea that it was just a few hundred milliseconds. All the while they are selling non-public information as a product that is deliberately used to micro-manipulate the market? I mean, deep down I always knew this, but to have it all spelled out is shocking because it…

And $5mm seems like a very small penalty to pay for systematically ripping off retail investors. I wonder if there is a valid basis for a class action that could recoup more of the theoretical losses due to the delayed quotation...

Post by kasey_junk » Wed, Mar 02, 2016, 8:55 PM UTC

alfalfasprout wrote: post #89

kbenson wrote: post #8

Earlier quoted context omitted.

IIRC, HN's yummyfajitas goes into a lot of details in his blog posts on HFT[1]. My own understanding is that it provides liquidity and reduces bid/ask spreads, resulting in a more accurate stock valuation. I'm not sure the negatives, but I'm not a trader nor do I follow such things all that closely. 1: https://news.ycombinator.com/item?id=3852341

It's a mixed bag. On the one hand, we really do get a lot more liquidity thanks to having tons of fast market makers. You can get subsecond fills on most marketable or close-to-marketable (eg; limit orders within the spread) on most common stock listed on the NYSE/NASDAQ. But it's often not "real" liquidity. Let's say there's 100 shares available at $100.00, 200 at $100.50, etc. Such that there's a total of 5k shares…

Post by CyberDildonics » Wed, Mar 02, 2016, 8:57 PM UTC

forrestthewoods wrote: post #101

revelation wrote: post #88

Earlier quoted context omitted.

That's circular reasoning: right now speed is a figure of merit because that's how the game has been designed. I'm suggesting to change the game rules. I don't mean to get rid of automatic market making, I'm saying the exchange could just move to a system where it checkpoints every 10ms or whatever, still much faster than humans can blink, but no detriment to the algorithms. Then everyone has 10ms to come up with ord…

Let's say that happens. The system checkpoints and everyone orders off those checkpoints. What changes? What's the end result? How do normal people or society benefit? What would have to happen for the change to be declared a success. Conversely, what would have to happen for the change to be declared a failure?