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Nanex Gets $700k Whistleblower Award from SEC

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Re: Nanex Gets $700k Whistleblower Award from SEC

#191

Post by TheNanex »

CyberDildonics wrote: post #34
tptacek wrote: post #15

Earlier quoted context omitted.

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…

> what NYSE was doing probably didn't impact you at all. Then where does all the money HFT firms make come from?

He's right - if you weren't part of the group that was paying them over $100M/year in fees for "real-time" data and you weren't buying or selling stock in 2008, 2009, 2010 and 2011, it probably didn't impact you at all.

Re: Nanex Gets $700k Whistleblower Award from SEC

#192

Post by TheNanex »

tptacek wrote: post #29
lr wrote: post #16

This might be of interest to people: A NYSE Speed Bump You Weren't Aware Of https://www.iextrading.com/about/press/op-ed/

The "speed bump" here being that NYSE's ancient creaky FIX gateway is slower than the NYSE ARCA gateway that they tell everyone to use instead. Quelle surprise! 80s text network protocol slower than 90s binary protocol: film at 11.

Pretty sure NYSE's ancient creaky FIX gateway is infinitely faster than the NYSE ARCA gateway - as the latter, while more network efficient, isn't going to ever take your packets to NYSE.

NYSE and NYSE ARCA are different exchanges.

Re: Nanex Gets $700k Whistleblower Award from SEC

#193

Post by TheNanex »

eewffwe wrote: post #171
TheNanex wrote: post #56

Earlier quoted context omitted.

I was ignored by the Trading and Markets people at the SEC, but not ignored (obviously) by the Enforcement people.

I don't want to be silly but it appears the SEC ignores the siren often (Madoff is another). Is this due to sheer workload or friends in high places?

Wealthy friends with promises of a nice job (and other things)

Re: Nanex Gets $700k Whistleblower Award from SEC

#194

Post by zekevermillion »

kasey_junk wrote: post #180
zekevermillion wrote: post #176

Earlier quoted context omitted.

I don't see a need to pretend that retail investors trade directly on an exchange to show harm. The reason that some firms pay for access to current information is that it gives them an advantage. An advantage against whom? Is this only a matter of HFT firms trading against each other, and they all have access to the same info? Or, is the info asymmetric and someone is disadvantaged in a trade? I have to think that a…

> Or, is the info asymmetric and someone is disadvantaged in a trade? There is no expectation in the markets that everyone is working with the same information, quite the contrary, the markets wouldn't provide value if everyone was working with the same data. One of the chief reasons the markets are valuable is that they give people incentives to surface (in the form of market activities) pricing information they mig…

How do you know Vanguard disagrees with me when I haven't even stated a position. I'm posing a loaded question hoping that someone can make an intelligent and factual argument as to why the sanctioned behavior that the SEC believes is illegal does or does not in fact cause any harm to retail investors. The Nanex commenter does that pretty well, and I think frames the proper issue (if we care about the "morality" of this) as not having to do with HFT at all. If we accept this, it means that my earlier comments here were irrelevant to the topic, as are yours and the comments by other HFT defenders in this thread.

Re: Nanex Gets $700k Whistleblower Award from SEC

#195

Post by TheNanex »

tptacek wrote: post #50
mrbill wrote: post #33

For someone who knows next to nothing about trading, but has read "Flash Boys", any other recommended books on the topic?

Yes: read "Flash Boys: Not So Fast", a very readable and very technical takedown of "Flash Boys", which is a terrible, incoherent book --- without a doubt Lewis' worst. For a better version of "Flash Boys", read "Dark Pools"; Dark Pools also takes a gimlet look at high-speed trading, but also does a great job of documenting the birth of the NASDAQ ECNs and the transition from the early-90s centralized markets to mode…

"Flash Boys: Not So Fast" is an absolute joke, and this is known by everyone on Wall Street with a functioning brain (I'm guessing you know this too).

Your name is all over this thread like a dirty hand on a white linen dress. Trolling.

You've poisoned any chance of a reasonable discussion.

If anyone wants their questions on this asked, I'm @nanexllc on twitter.

Nanex out..

Re: Nanex Gets $700k Whistleblower Award from SEC

#196

Post by KMag »

TheNanex wrote: post #188
KMag wrote: post #177

Earlier quoted context omitted.

The regulation is about equal access, not free access. Now, the SIP feed contains combined market data from all of the exchanges to which the National Best Bid / Offer (NBBO) applies, so that a broker-dealer can look at the SIP feed to determine nationally what the best bid across many exchanges is and what the best offer across many exchanges is. The Reg NMS mentioned is that the broker can't give you a price (befor…

The SIP (consolidated feed) is tasked with using the most efficient hardware and software available. If a private company can consolidate faster than the SIP, then the SIP isn't using the most efficient hardware and software available now is it? Pretty simple. The exchanges take in $500M a year in SIP fees, which are supposed to go to the most efficient hardware and software available. Pretty sure that's not happenin…

> Pretty simple.

Oversimplification, forgetting the laws of geometry and physics.

The triangle inequality and relativity conspire against the SIP. If you're getting the SIP from B, any new prices at C go to B and then forwarded to you, so it's faster (best case equal in the degenerate triangle case) to get direct feeds from B and C and consolidate locally.

Re: Nanex Gets $700k Whistleblower Award from SEC

#197

Post by kasey_junk »

TheNanex wrote: post #190
Lazare wrote: post #175

Earlier quoted context omitted.

Oh boy, you got this 100% the wrong way around. As a small trader, you get access to special lower prices that a hedge fund can't get. Your broker will be routing your order to a wholesaler who will fill it at lower prices (ie, narrower spreads) than you would get on the open market, because they have a legal obligation to not screw you over. You can request that they route it to anywhere you want, and they are legal…

Are you from Citadel? Would you trust Wall Street to give you the best price on anything if there was no way to verify it? There is no way to reasonably know if you are getting the best price (because they can change many times in the same second). You are relying on the internalizer to give you the best of many possible prices. History says: "that's not going to happen"

Just as a heads up as you're new here, accusing someone of shilling is a pretty big no no.

Full disclosure, I have in fact worked with your data and at an HFT in the past but have moved out of the industry, if you were going to ask.

Re: Nanex Gets $700k Whistleblower Award from SEC

#198

Post by officialchicken »

TheNanex wrote: post #182
officialchicken wrote: post #172

Earlier quoted context omitted.

Please excuse my ignorance if this question is dumb, but what is the name of the kind of Chart 3? I've never seen one like it and it's fascinating to me - it seems like it's a 2d line graph with some shaded regions, but not a heat map.

I don't have a name for that chart. It's a customized display I wrote that I found makes it easiest to view quote spreads and trades from multiple exchanges. I write in "c" combining simple graphics: lines, pixels and text.

Then I propose "TheNanex c chart". It's information rich, multi-multi-dimensional, and really tells the story in a nutshell.

I printed one out and put it on my "Tufte" shelf [1].

Edit: Add [1] https://en.wikipedia.org/wiki/Edward_Tufte

Re: Nanex Gets $700k Whistleblower Award from SEC

#199

Post by tptacek »

TheNanex wrote: post #195
tptacek wrote: post #50

Earlier quoted context omitted.

Yes: read "Flash Boys: Not So Fast", a very readable and very technical takedown of "Flash Boys", which is a terrible, incoherent book --- without a doubt Lewis' worst. For a better version of "Flash Boys", read "Dark Pools"; Dark Pools also takes a gimlet look at high-speed trading, but also does a great job of documenting the birth of the NASDAQ ECNs and the transition from the early-90s centralized markets to mode…

"Flash Boys: Not So Fast" is an absolute joke, and this is known by everyone on Wall Street with a functioning brain (I'm guessing you know this too). Your name is all over this thread like a dirty hand on a white linen dress. Trolling. You've poisoned any chance of a reasonable discussion. If anyone wants their questions on this asked, I'm @nanexllc on twitter. Nanex out..

I don't believe you're going to persuade anyone here with appeals to your own authority; you are not the only person on the thread with experience with this subject.

I know less about market structure than any of the many commenters here that navigate it for a living, but I've had enough exposure to know that you haven't made a coherent argument yet. I'm sure you have one in you!

Re: Nanex Gets $700k Whistleblower Award from SEC

#200

Post by kasey_junk »

KMag wrote: post #196
TheNanex wrote: post #188

Earlier quoted context omitted.

The SIP (consolidated feed) is tasked with using the most efficient hardware and software available. If a private company can consolidate faster than the SIP, then the SIP isn't using the most efficient hardware and software available now is it? Pretty simple. The exchanges take in $500M a year in SIP fees, which are supposed to go to the most efficient hardware and software available. Pretty sure that's not happenin…

> Pretty simple. Oversimplification, forgetting the laws of geometry and physics. The triangle inequality and relativity conspire against the SIP. If you're getting the SIP from B, any new prices at C go to B and then forwarded to you, so it's faster (best case equal in the degenerate triangle case) to get direct feeds from B and C and consolidate locally.

Not to mention the CAP theorem. For the SIP to work you have to have a much stronger consistency model across many more nodes. To arbitrage latency in it you need neither.
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