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".

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

Feb. 17, 2016 : Vindicated!


Dec. 12, 2015 : The IEX Comment Letters


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 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.

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.

Oct. 8, 2013 : Compare the Time-stamps Already!

For the first time, the SEC's new multi-million dollar market data analysis tool, "Midas", allows the regulator to measure a stock exchange's compliance with a core rule that lies at the heart of regulations governing how our stock markets work. We are referring to rule 603(a)(2), which basically states that exchanges cannot send stock quotes faster to special groups than to the public quote.

Oct. 10, 2011 : RegNMS Rescinded

The SEC actually rubber-stamped Nasdaq's proposal (below) which, for all practical purposes, destroys the core concept that holds Reg NMS together - but only for the Nasdaq exchange. It's interesting that other exchanges have not made this proposal (that we can find). We strongly recommend the New York Attorney General or Congress investigate.

March 12, 2013 : Exploratory Trading in the eMini

Links and commentary on an explosive paper that changed everyone's view of HFT. On November 14, 2012, Adam D. Clark-Joseph published Exploratory Trading, which analyzes CFTC audit level trading data in the eMini S&P 500 futures market. This is a special, "regulators-only" data-set that contains all orders and trades, and each order and trade has a trader identifier. What this paper exposes is astounding.

Dec. 14, 2012 : Quote Stuffing Bombshell

In June 2010, while analyzing the Flash Crash, we noticed that many stocks had extremely high rates of canceled orders (1000+ per stock, per second). We then looked at data back to 2004 and found hundreds of thousands of examples: the first beginning in July 2007, which not coincidentally is when High Frequency Trading (HFT) began exploiting the flaws of Reg. NMS.

March 25, 2013 : eMini Algo Disaster on 14-Jan-2008

On January 14, 2008, in the early hours of trading, prices of the March 2008 eMini (ES) futures contract began oscillating rapidly. After about 4 seconds and 100 oscillations, the price swings widened to the equivalent of about 400 points on the Dow Jones Industrial Average. The oscillations then abruptly stopped and in less than 2 seconds, the price collapsed 5.3% from its peak: the equivalent of a 760 point drop in the Dow. After reaching bottom, the market was halted for 10 seconds.

March 23, 2012 : The BATS IPO and halt in AAPL

The March 23, 2012 IPO of BATS was brief. Apple (AAPL) stock began trading at 11:14:18.436 with an initial price of $15.25. Within 900 milliseconds from opening the stock price had fallen to $0.2848. Within 1.5 seconds the price bottomed at $0.0002. 567 trades were executed before the stock was halted (532 are shown below).

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.

Nov. 1, 2012 : The Denial of Service Algo

When this algo ran, it effectively shut down trading in that stock. We found that this algo completely jammed up the consolidated quote when it ran in Nasdaq stocks. Themis Trading believes they found what caused the high quote spam traffic.

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).

June 12, 2014 : Reexamining HFT's Role in The Flash Crash

In the course of researching another issue, we reread transcripts of SEC/CFTC meetings that took place in the months after the flash crash. But this time, we read those transcripts with the gift of hindsight, having gained considerable knowledge from extensive analysis of market data

June 5, 2014 : Fact Checking The SEC

Mary Jo White wants to base new rules on facts, let's check her very first claim:

June 2, 2014 : FINRA Dark Pool Statistics

We had to remove the data from this page to comply with FINRA's outrageous fees ($12,000 to $18,000) for publishing derived data from ATS Volume: even a simple calculation of average trade sizes. Please read the KORS comment letter to the SEC which discusses these fees and data.

June 2, 2014 : Information Asymmetry

Another case of Direct Feeds getting data while SIP customers do not. For 20 minutes! The last time there was "information asymmetry" on this scale, Nasdaq shut down for 3 hours. When asked why, Robert Greifeld explained they decided to shut down because of "information asymmetry":

May 20, 2014 : LULD Halts on the Rise

The number of stock halts from the new Limit Up, Limit Down circuit breaker (LULD) is on the rise. Some of this increase is due to multiple halts in the same stock on the same day, and a significant subset of these multi-halt events are triggered, not from actual trading, but from a mere widening of the quote spread.