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.

Feb. 17, 2016 : Vindicated!


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.

Sept. 20, 2013 : Einstein and the Great Fed Robbery

This is the paper that led to a Fed Policy Change. One of Einstein's great contributions to mankind was the theory of relativity, which is based on the fact that there is a real limit on the speed of light. Information doesn't travel instantly, it is limited by the speed of light, which in a perfect setting is 186 miles (300km) per millisecond. This has been proven in countless scientific experiments over nearly a century of time. Light, or anything else, has never been found to go faster than 186 miles per millisecond. It is simply impossible to transmit information faster.

Sept. 28, 2013 : Shredding Virtu's Response with Science

The High Frequency Trading (HFT) firm Virtu published a response to our analysis, Einstein and The Great Fed Robbery, in which we showed that Fed FOMC news had to exist in New York and Chicago before it was released at 2pm in Washington D.C. Although it may appear to some that Virtu’s intent was to discredit our work, we will show that Virtu's own data actually corroborates our findings: Virtu's paper, in fact, agrees with our analysis.

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. 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.

June 26, 2014 : The Yen Events

Trading in Japanese Yen futures had two notable events within a 34 hour period. The first event was a trading halt after release of the U.S. GDP at 8:30 AM (EDT) on June 25, 2014: it was the only instrument in the world that we know of which halted then.

June 13, 2014 : Liquidity Vacuum Before 9:55 News

On June 13, 2014 starting at 9:52:10, there was a sudden drop in the Russell 2000 Futures (TF) during a period before pending news, when liquidity runs dry...

June 5, 2014 : Currency Art

Charts of currency data during the June 5, 2014 ECB Interest Rate news release at 7:45am EDT. Each line represents the percentage change in price (bid/ask midpoint) since 7:45 for one currency pair. Not all pairs are shown (because this is mostly art).

May 29, 2014 : Treasury Futures Running on Empty

On May 29, 2014 during the 8:30 double news event (GDP and Jobless Claims), liquidity in 5-Year Treasury futures went as close to zero as we have ever witnessed.

May 2, 2014 : Treasury Futures Halt or Overload

On May 2, 2014 at 8:30:05, right after release of the Non-farm Payroll number, quotes and trades in Treasury futures from CBOT halted for about 10 seconds. Sequence numbers before and after the event indicate no data was dropped. What is unsual about this event is that quotes also stopped updating - indicating a possible system issue at the exchange.

May 1, 2014 : Silver Futures Halt

On May 1, 2014 at 8:04:31, Silver Futures halted for 10 seconds after a sudden price drop. Compare this to the 10 second overload in Treasuries the next day.

April 4, 2014 : Extreme Liquidity Evaporation During 8:30 News

Once again liquidity evaporates during the 8:30 news on April 4, 2014.

March 14, 2014 : eMini's Prepare for UMich

The University of Michigan releases their Consumer Sentiment numbers twice a month, and market liquidity evaporates about 1 minute before the scheduled 9:55 release time. The March 14, 2014 release was no different.

March 6, 2014 : Clarence Beeks and Soybeans

Trading ahead of the weekly export release - embargoed until 8:30.

March 3, 2014 : eMini Liquidity Alert

Liquidity in the March 2014 eMini Futures Contract collapsed along with prices about 2 minutes before 10am news.

Feb. 7, 2014 : Employment Numbers Chaos

Take a look at currency pairs after the the employment report news.

Jan. 10, 2014 : All the Things

Big moves in many instruments from the Employment report released at 8:30 Eastern Time on January 10, 2014.

Jan. 10, 2014 : Treasuries Halted During Employment Release

On January 10, 2013, about 8/10ths of a second before the Labor Department released the widely anticipated Employment Situation Report, trading activity exploded in Treasury futures, sending prices much higher in less than 1/10th of a second. The speed and magnitude of buying activity during a period of low liquidity, quickly overwhelmed the 5-Year T-Note market causing a stop logic circuit breaker to trip and shut down trading for 5 seconds.

Jan. 8, 2014 : Exaggerated Prices Moves Around News Events

In today's markets, with the presence of High Frequency Trading (HFT) machines that place and cancel orders in less than a millisecond, financial markets are significantly more volatile during a news release. The same volume that would barely budge the market during normal times, can cause severe price swings right before and during a news event. This is because there is no liquidity (resting orders) when news is expected, because only the fastest traders are able to participate in this sub-second ecosystem.

Dec. 26, 2013 : IT Drops Twice

Dec. 20, 2013 : My Last Date with Bernanke

Here are close-up charts in SPY (mostly) around the 2pm Federal Reserve FOMC news release on December 18, 2013.

Dec. 20, 2013 : Fantaseconds

Back on September 20, 2011, we coined the term fantaseconds to describe the phenomenon of trades printing ahead of quotes. We wrote this paper which included ample evidence of fantaseconds in the stock of Yahoo. What many readers of the paper didn't realize at the time, was our suggestion that somehow high frequency traders figured out how to go faster than light, was satire. It didn't help that just hours later, CERN announced the possibility that they detected particles travelling faster than light, and many people conflated the two stories.