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The Wall Street Code: a thriller about a genius algorithm builder who dared to stand up against Wall Street. Haim Bodek, aka The Algo Arms Dealer.
From the makers of the much-praised Quants: the Alchemists of Wall Street and Money & Speed: Inside the Black Box. Now the long-awaited final episode of a trilogy in search of the winners and losers of the tech revolution on Wall Street. Could mankind lose control of this increasingly complex system?
The explanation of the flash crash as some turbulent breakdown of a complex system is very funny.
There was some company constantly hitting the bids with no fear serious buyers would drive the market any higher and it seems, until now, it is impossilble to name the originating big bid-hitter?
The SEC already named them, but people like Eric Hunsader of nanex disagree with their conclusions, after reviewing all the trade data from the firm that allegedly caused it. The data showed that they were selling on every run up, not hitting the bid on new lows (if I remember right).
Preferred order types for high volume HFTs creates a huge disadvantage for retail traders and institutions. No wonder my limit orders don't get filled!
I think it's cool that the one hedge fund lives in the same house working together, it probably makes trading more interesting that way being independent yet socially stimulated.
R.I.P. Joseph Bach (Itchymoku), 1987-2018.
Please visit this thread for more information.
I'm disappointed that individuals such as Peterffy, Lauer and Bodek were glorified in this documentary, while the unsung heroes of the market were unfairly bashed.
2. During the Flash Crash, Lauer was at Allston, a "greybox" shop that did poorly in the past years and therefore had to cut its staff. (Besides, they are a JVM shop, by no means latency-sensitive.) He has absolutely no authority about this matter. The majority of 'mini-crashes' and bottoms are formed by retail (click or electronic) traders and slow traders aggressing against low latency electronic traders, e.g. through stop loss orders. I only say "the majority" for political correctness because honestly I don't pay attention to these things and my actual memory of these incidences was that 100% of them were caused by low-frequency traders. Here's an example where a market lost about 4% of its value in an hour where I had to supply liquidity all the way down to the bottom. The pink bar shows the contribution of low latency electronic traders and the two largest bars clearly show that the slow traders were responsible for most of the market damage and imbalance.
3. I believe Direct Edge had made a public statement that they had email evidence of discussions with Bodek about the [edit: hide-not-slide] order type well in advance. Besides, it is your own undoing if you choose to compete in an area where specific order types matter and don't bother to keep yourself updated. Bodek had no serious experience before he started Trading Machines (I know to the common public, a short stint at UBS and Hull is a lifetime of financial experience, but practically everyone that you talk to on the phone from the largest 10 FCMs and prime brokers will have a better resume.)
Where is the journalistic standard nowadays?
No one is systematically disadvantaging your limit orders.
The exploits that Haim refer to only exist in the equity markets where Reg NMS is in force. Even so, the equity markets are a fair game because these strategies only degrade the returns for other low latency electronic traders.
Regarding his first suggestion, it's fundamentally impossible for the public feed to display the timestamp simultaneously as the match takes place with the present exchange architecture. I think he has some vague idea that they should eliminate the round trip on the order channel, which has unintended latency consequences that we waste a lot of time solving. I agree that this is a good idea as it would make for a simpler API to develop against, and therefore reduce latencies and improve the market quality across in general. I feel, however, that Eric's motive for suggesting this is so that data vendors do not have to pay that extra $28,550 per month for exchange licenses; I doubt this will achieve the intended goal, as the license fees for the SIP feeds will undoubtedly increase if unchecked. You can do this and make the SIP feeds free too - but that will become a cost on taxpayer money. You can't have the best of all worlds.
Regarding his second suggestion, sure, I absolutely agree. But whoever's under the impression that this will reduce public costs is gravely mistaken. The growing bandwidth requirement is a function of several factors, a few are good reasons, and a few (such as liquidity rebates, and this), are bad.