Feb. 17, 2016 : Vindicated!


Jan. 26, 2016 : Congressional Wall of Shame

Why he is on the list:

Dec. 12, 2015 : The IEX Comment Letters


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


July 23, 2015 : NYSE's Dark Halt


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".

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


April 7, 2015 : HFT Defined


March 27, 2015 : Rigged


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.

Nov. 5, 2014 : Treasury Flash Crash Update

Trading was swift and decisive and over in 2 seconds. Note the prices were already drifting in the same direction when the sudden jolt hit markets world-wide.

Oct. 28, 2014 : Record Treasury Futures Trades

On October 28, 2014, there were two monster sized trades in Treasury Futures, a 26000+ contract trade (sale) in the 30-Year T-Bond (ZB) at  12:08:23 and a 29000+ contract trade (buy) in the 10-Year T-Notes (ZN) at 12:17:42. We know the 10-Year trade set a record for most contracts traded in 1 second for that contract since at least 2005 (the 30-Year may have as well, but we haven't completed a thorough check of the data).

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. 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.

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.

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. 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. 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. 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!