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.
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.
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!
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.
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).
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.
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.
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.
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.
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.
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.