July 14, 2015 : HFT Hot Potato 2 - The Treasury Flash Crash

On July 13, 2015, the U.S. Department of Treasury, the Board of Governors of the Federal Reserve System, the Federal Reserve Bank of New York, the U.S. Securities and Exchange Commission, and the U.S. Commodity Futures Trading Commission released a joint report analyzing the significant volatility in the U.S. Treasury market on October 15, 2014 (press release, paper [pdf]). We'll simply call it the "Fed paper".

March 18, 2015 : U.S. Dollar Flash Crash

On March 18, 2015 between 4:02 and 4:09 PM Eastern Daylight Time, the U.S. Dollar flash crashed, losing over 3% of its value in just under 4 minutes, then gaining most of it back over the next 3 minutes. This event occurred 4 minutes after the regular session of stock market trading closed on the NYSE and Nasdaq at 4 PM (16:00). Two hours earlier (2 PM) was the widely anticipated and watched Federal Open Market Committee (FOMC) event. A quarter of a second after the initial 2 PM announcement, the U.S. Stock market exploded higher. At the same time, the U.S. Dollar moved sharply lower, setting up conditions for the flash crash 2 hours later.

March 6, 2015 : Shining a Light

Concept art for Nanex Research. Created by Igor Cheban.

March 5, 2015 : Robber Barrons Update

Our main issue with Alpert's article is that it never states that Marketable Limit orders were excluded (a big deal as explained here). Alpert informs us that this information does exist in the code which was supplemental to the story. But the reader would have to download and install software, then download, compile and run his code to discover that fact. We think that is entirely unreasonable.

March 4, 2015 : Robber Barrons

The February 28, 2015 weekend edition of Barron's carried an article by Bill Alpert about how trading has never been better for "The Little Guy". Alpert claimed to have arrived at this conclusion after months of studying SEC 605 reports. He further went on to rank the "Stock Wholesalers" (folks that actually execute most retail orders) and proclaimed Citadel the winner. Themis Trading wrote a must-read review of this article, so we'll avoid repeating some of the excellent points they make.

Dec. 12, 2015 : The IEX Comment Letters


Sept. 15, 2015 : Leveling the Playing Field vs HFT


July 23, 2015 : NYSE's Dark Halt


May 19, 2015 : Did the Wall Street Journal Get Spoofed?


April 7, 2015 : HFT Defined


March 27, 2015 : Rigged