Nanex Gets $700k Whistleblower Award from SEC

Post by lightcatcher » Thu, Mar 03, 2016, 3:33 AM UTC

true_religion wrote: post #105

harryh wrote: post #91

Earlier quoted context omitted.

You don't actually have 10ms to act in the scenario you describe. Because there is new information entering the world at all times, you would want to wait until the last possible microsecond before the end of the 10ms window before entering any bids. The window does nothing to remove the need for speed. The world is a continuous system. No matter how hard you try you can't force it to be discrete. (There are other pr…

What new information? I think the above poster meant to imply that the 10ms delay would cover all market transactions, so if you put in an order now, then no one knows it till the next 10ms stop post. Essentially its buffering all the data then releasing it at once, so it's not a truly continuous system anymore.

Post by PhantomGremlin » Thu, Mar 03, 2016, 10:53 AM UTC

jnordwick wrote: post #162

tptacek wrote: post #81

Earlier quoted context omitted.

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

Post by easytiger » Thu, Mar 03, 2016, 2:31 PM UTC

PhantomGremlin wrote: post #205

easytiger wrote: post #131

Earlier quoted context omitted.

its pretty amazing how few people seem to have base domain knowledge of core market infrastructure considering how many people work in that area and that it isn't particularly tricky. It certainly colours the opinions of everyone here jumping to entirely silly conclusions.

I can read (and have read) Volumes 1, 2, and 3 of The Art of Computer Programming and thereby acquire a considerable amount of "base domain knowledge" in that area. I'm not aware of a correspondingly simple way of acquiring base domain knowledge of the topics we are discussing here. Perhaps you can suggest some books?

Post by TheNanex » Thu, Mar 03, 2016, 4:50 PM UTC

officialchicken wrote: post #198

TheNanex wrote: post #182

Earlier quoted context omitted.

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

Post by jsprogrammer » Thu, Mar 03, 2016, 10:01 PM UTC

tptacek wrote: post #100

jsprogrammer wrote: post #83

Earlier quoted context omitted.

Are you saying that there is a special market operating in the NYSE that some traders cannot access? Why would my order not be eligible for being matched, but a HFT's would? Edit: wow, rate limited after three posts this morning. A new HN low. My response to tptacek below: My dumb order? How can HFT's intercept and redirect my trades to their, appently, captive pool of dumb trades? Sure sounds like multiple markets a…

No, that's not what he's saying. But aside from that: the reason orders you place won't be matched on any market at NYSE, let alone a special one, is that HFT market makers will give you a price break to route your dumb order to them so they can collect their tiny spread from your trade without worrying that you're a hedge fund about to steamroll them with a giant block order.