June 6, 2014 : The People vs. Big Finance

Must read story: Fast money: the battle against the high frequency traders by Andrew Smith in The Guardian

Oct. 15, 2014 : Treasury Flash Crash

On October 15, 2014 between 9:33 and 9:45, liquidity evaporated in Treasury futures and prices skyrocketed (causing yields to plummet). Five minutes later, prices returned to 9:33 levels.

Sept. 8, 2014 : CME Rule 575

Beginning September 15, 2014, CME's new rule 575 ("Disruptive Practices Prohibited") goes into effect. The document accompanying rule 575 describes many of the issues we have pointed out and published over the years. Although these manipulative strategies have been illegal in the past under existing prohibitions on manipulation (see the CFTC Pather fine), rule 575 explicitly lists several types.

Aug. 24, 2014 : SEC Comment Letter

Last week, the SEC asked Nanex Founder and CEO Eric Scott Hunsader for his comments regarding the NBBO and his thoughts toward regulation improvements.

Aug. 15, 2014 : The Quote Stuffing Trading Strategy

Usually, exchange disciplinary actions are identical to FINRA's except for name changes, however in this case, there was one paragraph in the Nasdaq action missing from FINRA's. And not just any paragraph, but the most stunning revelation about Quote Stuffing to date: Citadel was sending excessive orders (Quote Stuffing) as a trading strategy!

Aug. 1, 2014 : The Stock Market's Perception Problem

On July 29, 2014, Representative Scott Garrett (R-NJ), Chair of the House Financial Services Subcommittee on Capital Markets and Government-Sponsored Enterprises, held an equity market structure round-table at the Library of Congress in Washington, D.C.

July 29, 2014 : Market Rigging Update

Our recent post, Perfect Pilfering, set a record for the number of emails we received from High Frequency Traders - each writer wanting to make sure they were "talking off the record" and "please don't attribute any of this to me".

July 15, 2014 : Perfect Pilfering

We received trade execution reports from an active trader who wanted to know why his large orders almost never completely filled, even when the amount of stock advertised exceeded the number of shares wanted.

July 31, 2014 : Retail Trades Disadvantaged by Direct Feeds

While internalizers matching retail trades claim they use direct feeds for pricing, there is overwhelming evidence that retail customers, in fact, are getting prices based on the SIP (Securities Information Processor also known as the consolidated quote).

May 20, 2014 : Nanex Discoveries Lead to Policy Changes

Between May 2013 and December 2013, Nanex discovered 5 sources of early news leaks from analysis of market data and published the results. Each of these discoveries led to significant policy changes.

July 25, 2014 : The Stock Market''s 25,000 Most Active Seconds

Feb. 13, 2014 : HFT Quote Spammer Redux

During regular market trading hours on February 13, 2014, we found 633 extreme high frequency trading (HFT) quote spamming events. We define an event when 1 symbol has 6,000 or more quotes and less than 300 trades in 1 second of time. Events like these are rare, usually only a few appear in a trading day. There were 633 such events on February 13.

April 1, 2014 : Refuting HFT Claims

Ask them to define what liquidity means. Here's the Chairman of the FIA Europe who completely gets it wrong. Here's an email exchange with an academic who helped write the SEC flash crash report who also, completely gets it wrong! Yes, HFT provides liquidity, but only if we are using the term liquidity to mean something else.

Sept. 30, 2014 : Expiring Credibility

Each green sliver is made up of one HFT algo's bids or offers changing 1 penny at a time at rates exceeding 100 times and sometimes 1000 times a second.

Sept. 19, 2014 : BABA IPO

On September 19, 2014 the stock of Alibaba (Symbol BABA) began trading. Here are some highlights.

June 27, 2014 : 143 Stocks Move 2% in Seconds

On Friday, June 27, 2014 at 15:50:00 - 143 stocks suddenly moved at least 2% (with some exceeding 10%) in just a few seconds. There were 678 stocks that moved 1/2 of a percent or more.

June 26, 2014 : All Bite, No Barc

On June 25, 2014, the Attorney General for the State of New York announced a lawsuit filed against Barclays, alleging fraud. Reading the lawsuit, it quickly becomes clear, that not only was Michael Lewis right in Flash Boys, but Wall Street has become a cesspool of corruption and criminal activity.

June 16, 2014 : Schwab Swoons 5%

On June 13, 2014 at 9:32:46, the stock of Nike, Inc. (symbol NKE, market cap $65 Billion) suddenly dropped 2% in less than a second on thousands of trades. 9 exchanges and an unknown number of Dark Pools and ATS participated vigorously. There were plenty of quotes - with some exchanges sending 20 to 30 for each trade during the event. This will simply be another event to add to a growing list.

May 30, 2014 : Time Warner Double Dips

On May 30, 2014, the stock of Time Warner, Inc (symbol: TWX, market cap: $61 billion) experienced two sudden drops about 6 minutes apart:

Sept. 3, 2014 : Apple's Record Days

On September 2, 2014, the stock of Apple Computer Corp (Symbol AAPL, almost $600 Billion) hit an all time split adjusted new high: $103.74 (the stock split 7 for 1 on June 9, 2014). The very next trading day, September 3, 2014, there were 2 new records for trading during a single regular session (9:30 to 16:00) in Apple stock: most trades and highest volume.

Aug. 29, 2014 : CME and GFX

Below is CME Group's notification to the CFTC that it is vastly expanding the markets that its privately held trading group, GFX, will trade in.

Aug. 26, 2014 : The Retail Lockout of 2014

Hundreds of symbols with crossed NBBOs

Aug. 18, 2014 : Quote Stuffing the CFTC

Read this section of transcript from CFTC Technical Advisory Committee meeting on July 14, 2010. As far as we know, no one has ever been named.

Aug. 12, 2014 : DD

Aug. 11, 2014 : Citadel's Rogue Algos

On June 16, 2014, FINRA posted a letter Letter of Acceptance, Waiver, and Consent from Citadel for 4 separate issues (CDRG is Cidatel Securities, LLC).