Live data from Hacker News

Nanex Gets $700k Whistleblower Award from SEC

nanex.net

161–170 of 237 posts

Re: Nanex Gets $700k Whistleblower Award from SEC

#161

Earlier quoted context omitted.

Well just to clarify a little. There are 2 different concepts that sound sort of similar. 1) A dark pool. This is just another name for an exchange, but one that is not public. I don't know if NYSE runs one, but it wouldn't be surprising. The theory behind these is that they are provided as a service to large institutional investors to trade with each others outside the vagaries of the public markets for lots of reas…

The case we are talking about however, I believe, is where NYSE operates an apparently public market with delayed quotes for some players. Tptacek claims that my orders cannot even make it into the supposedly public market because someone will scoop up my order on the way, before it even reaches the delayed quote market and therefore, the market is not special because I cannot access it (which is disputable).

Yes: if you, as an individual, place an order at an online brokerage, your order is most probably not going to make it to an exchange. It would be stupid to send it there, because wholesalers will give you better prices.

This is the case for retail orders, but not for trading firms. Prop trading firms don't tend to route their orders through wholesalers; they have deals with execution platforms (or implement their own) and route their orders to exchanges.

But there's a whole 'nother set of reasons why we're not especially concerned about competitions between prop trading firms on speed/latency/whatever: if they're impacted by HFT at all, they're competing in a zero-sum game to arb prices, and there's no moral reason why a slower trading firm is entitled to some equitable share of all the available profit from some arbitrage strategy.

Re: Nanex Gets $700k Whistleblower Award from SEC

#162
post #81
post #80

Earlier quoted context omitted.

Hunsader is basically an authority on conspiracy theories and little more.

That's not true. Even people who don't like Hunsader's analysis (and there are lots of those people) tend to acknowledge that his operation generates good data.

I agree with the previous poster. As someone who works in the field, I find a lot of the analysis very conspiratorial when often the correct explanation is somebody had a bug.

"Never assume bad intentions when assuming stupidity is enough" -- Hanlon's Razor

Re: Nanex Gets $700k Whistleblower Award from SEC

#163

Earlier quoted context omitted.

Simplish order types (limit/market, good till cancel, immediate or cancel, etc.) can only do so much. When you place a limit order on a continuous-time market, you'll pay exactly your limit price; but on a batch market you'll pay the clearing price (which may be less than your limit price). The complicated types (hide-n-slide, NBBO pegs, and conditional pegs[1]) may help some players at the expense of others. The onl…

> you'll pay exactly your limit price Thats not quite true. Price improvement happens all the time on limit orders, but I'll concede you'll pay close to it if it fills. > The complicated types (hide-n-slide, NBBO pegs, and conditional pegs[1]) may help some players at the expense of others. This is true of limit/market/stops as well. The Budish paper is very interesting. What we don't know is what it would do to the…

What are some circumstances in which you'd get price improvement on a resting limit order?

Re: Nanex Gets $700k Whistleblower Award from SEC

#164

Earlier quoted context omitted.

> you'll pay exactly your limit price Thats not quite true. Price improvement happens all the time on limit orders, but I'll concede you'll pay close to it if it fills. > The complicated types (hide-n-slide, NBBO pegs, and conditional pegs[1]) may help some players at the expense of others. This is true of limit/market/stops as well. The Budish paper is very interesting. What we don't know is what it would do to the…

What are some circumstances in which you'd get price improvement on a resting limit order?

You wouldn't on a resting order, but if you hit the other side you will.

Re: Nanex Gets $700k Whistleblower Award from SEC

#165

Earlier quoted context omitted.

Market data is not non-public definition. NYSE was simply slow in aggregating market data during times of high volume. This did not affect you as a retail investor, as you get the NBBO price. This only affected you if you were an HFT firm with bad infrastructure who depended on the aggregate feed and not their direct line. Like tptacek said, the price for getting a direct line, while expensive, is not unreasonable fo…

What if you want to write your own code and run your own infrastructure? The direct line may still be cost prohibitive and bestow a distinct advantage to your competitors. Some people think this is not the case?

No one is entitled to be able to enter a market. It would be practically infeasible for me to compete against Amazon by writing code at home. That doesn't mean the ecommerce market is a bad thing.

Re: Nanex Gets $700k Whistleblower Award from SEC

#166

Earlier quoted context omitted.

The benefit? People don't have their order front runned by algorithm which will sell it back to them at a slightly higher price, skimming money off the top to no one's benefit.

Can you explain in as much detail as possible exactly how algorithms are front-running people's orders? Can you do it with an example of a specific kind of order, preferably down to where exactly the order is being placed? Then we can dig into the specifics and evaluate the claim being made here.

He can't, because he's wrong.

Re: Nanex Gets $700k Whistleblower Award from SEC

#167

Yikes. Lots of misinformation here. First of all, this has nothing to do with High-Frequency Trading. It's about the NYSE not delivering a product (SIP real-time data) while collecting $100M a year for that service. This was happening for at least 3 years. I am a champion of free markets. The term "High-Frequency Trading critic" is a label others use when they either can't understand and/or refute solid evidence. I'm…

Please send me info on variable rate annuities and what they can do for my family.

Re: Nanex Gets $700k Whistleblower Award from SEC

#168

Earlier quoted context omitted.

The benefit? People don't have their order front runned by algorithm which will sell it back to them at a slightly higher price, skimming money off the top to no one's benefit.

Can you explain in as much detail as possible exactly how algorithms are front-running people's orders? Can you do it with an example of a specific kind of order, preferably down to where exactly the order is being placed? Then we can dig into the specifics and evaluate the claim being made here.

He can't, because he's wrong.

Re: Nanex Gets $700k Whistleblower Award from SEC

#169

Yikes. Lots of misinformation here. First of all, this has nothing to do with High-Frequency Trading. It's about the NYSE not delivering a product (SIP real-time data) while collecting $100M a year for that service. This was happening for at least 3 years. I am a champion of free markets. The term "High-Frequency Trading critic" is a label others use when they either can't understand and/or refute solid evidence. I'm…

[deleted]

Re: Nanex Gets $700k Whistleblower Award from SEC

#170
post #12

Earlier quoted context omitted.

> It's this later feed that is getting the exchanges into trouble as these feeds notify the user of trades before the SIP can be updated which lets firms have a 300-700 nano second peek at the market before everyone else does. From the article: Specifically, we found that stock quotes from the NYSE were delayed by more than 30 seconds to the public quotation feed (chart 1), relative to Open Book, which is NYSE's expe…

It is technology, and it broke, badly. You cant blame them for doing that on purpose if it was a side effect of a black swan event

The charts are not reporting what happened during the flash crash, they are for a separate, later event that they chose to see if the behavior was regular. It was, but not to the levels seen during the flash crash, as is to be expected from the cause.

This is not about a time when some technology broke under extreme load, this is about a broken system that persisted in that state for an extended period of time, and it was broken in a way that made it no longer compliant with the law.

Post reply on HN