http://www.cftc.gov/ucm/groups/public/@aboutcftc/documents/file/transcript071410.pdf

p204
 16              MR. COSGROVE:  Well, I became aware of a 
 17    paper just yesterday that was produced by a group 
 18    called NANEX, and it's photocopied and handed out 
 19    to everyone this afternoon.  I had intended to, if 
 20    I had a little more time, to send this in. 
 21              I didn't author this work and I don't 
 22    know these guys, but I read the paper, and I was 
p205   fascinated, because I've been in energy and 
 2     commodity markets for nearly 30 years, and I've 
 3     certainly seen many variations of gaming of 
 4     various markets, and I've been trying to figure 
 5     out for the last week or so how you can game a 
 6     market using high frequency trading, 
 7     notwithstanding the flash business, which I think 
 8     is a separate issue.  And in this NANEX paper, 
 9     they've highlighted something that they call 
10     "stuffing fingerprints," where someone appears to 
11     be generating a high degree of orders that they 
12     explain as quite probably meant to jam up 
13     competing algorithmic traders.  And so they 
14     essentially generate a large volume of orders and 
15     then program their own algorithms to disregard 
16     those orders so that they can process the normal 
17     market information, but at the same time, those 
18     who don't have that information are now processing 
19     an enormous amount of spurious information that 
20     does nothing but slow them down. 
21               And so there is -- I mean if you look at 
22     this, I think it's fascinating, they name some 
p206   great names like Bayonet and Crystal Pyramid and 
 2     so forth.  And if this, in fact, true, then I 
 3     think somebody ought to find out exactly who 
 4     generated this and get an explanation of why, 
 5     because I mean, clearly, this isn't metaphysical, 
 6     somebody produced those, and it's possible to find 
 7     out who it is, and I'd love to find out who it is 
 8     and sit them down and say, what is this and what's 
 9     the commercial purpose. 
10               And I think that, if nothing else, it 
11     would scare the heck out of people who might 
12     otherwise be tempted to promulgate those kinds of 
13     strategies.  So this is the first example that 
14     I've seen, you know, where it was something other 
15     than the kind of extension of behavior that you 
16     would see with locals who are going to go run 
17     through stops on a quiet afternoon, or, you know, 
18     spoof some guy across the ring who is short and 
19     sweating, and this is the first thing that I've 
20     seen that seems to be more than a simple extension 
21     of the kind of stuff that we've seen in the rings 
22     for 30 years. 
p207             So I think -- if we don't find out who 
 2     did that, I think it's one of the biggest crimes 
 3     of the year.  I mean somebody did that, let's see 
 4     who it is and ask them why they did it. 
 5               CHAIRMAN O'MALIA:  Andrei, do you want 
 6     to speak to that? 
 7               MR. KIRILENKO:  NANEX representatives 
 8     who were here left Thursday, they presented their 
 9     views to -- in this very room, a room full of our 
10     enforcement, surveillance and economist staff, and 
11     staff from the Securities and Exchange Commission. 
12     We're taking their research very, very seriously. 
13     They provided us with all the data that they have 
14     on this day.  We are supplementing this data with 
15     the identities data, and the SEC is doing the 
16     same.  We're looking into it very, very seriously, 
17     I should assure you. 
18               MR. COSGROVE:  I'd love to know what you 
19     find out. 
20               MR. KIRILENKO:  It might be a federal 
21     felony for me to tell you. 
22               MR. COSGROVE:  We'll talk about it
p208   later. 
 2               MR. GORELICK:  Yeah, I would just agree 
 3     with those comments.  I mean if someone was doing 
 4     that for a manipulative purpose, then there should 
 5     be an enforcement action. 
 6               MR. COSGROVE:  Yeah, let's go get them.