An interesting read, especially the part about "quote stuffing" -- where some HFT systems send huge numbers of quotes in a short period time, the only apparent purpose being to overwhelm the computational capacity of other HFT systems.
Quote Stuffing is BS - people or boxes don't send quotes they send orders. The only reason why a quote would be generated is because of a change in the book. Quotes are event driven. NYSE or HFT systems don't just spam quotes on a stock, a quote is good until an event happens that changes the book, then a new quote is sent. Article is BS
pay no attn at all to Winstone, who is actually an hft bot set up by the crooks to distract you from their capital crimes.
I generally agree with the nanex article. It's funny, I personally believe we have a long way to go in making our markets more efficient, yet it seems the majority of US, or at least the loudest majority seems dead set on making our markets less efficient. If flash crashes were to become regular occurrences, it'd be the easiest way to make money ever, and as such the market would correct itself quite quickly.
More for those interested: Testimony before the CFTC in Washington, DC: http://www.reuters.com/article/idUSN1414277520100714 USA Today article: http://www.usatoday.com/money/markets/2010-07-09-wallstreetmachine08_CV_N.htm New website dedicated to HFT analysis and anomalies: http://www.nanex.net/FlashCrash/FlashCrashAnalysis.html Some tools and examples of detection: http://www.nanex.net/FlashCrash/NProbe.html http://www.nanex.net/FlashCrash/071610.html http://www.nanex.net/FlashCrash/CCircleDay.html http://www.nanex.net/FlashCrash/QuoteRates.html
Anyone who finds that crap "informative" deserves what they get. Truly amazing stuff. Pointing to USA Today as further evidence or traction of some kind? Nowhere a mention of the correlation between range/volatility, trading volumes, and quote traffic. Of COURSE there were huge quote volumes May 6. Did anyone notice that the Dow had an 1100 pt range? The "crop circles" section is almost all easily recognizable as naive algorithms with no throttling/quote filtering logic. Quotes dropping to 0.001 is an algo making sure it has an order at all times, even if it's at a meaningless price. 10 seconds in a stock pre-market? Wtf? How is that interesting? Do these people really think there's some Secret Nerd Society that is just fleecing everyone else?
I agree with all the recommendations, I just don't buy that their proposition was the cause. I think that was a symptom of the deeper issue. My theory is that the flash crash was not completely errant...There is no question in my mind that early on there was definitely selling pressure, and the fact that people were still selling at -8% makes me even more convinced of it.
It's all about understanding (imho), some people get it and others don't...that's simple. Specific to the USA Today article and as an example; if you're in LA trading NYSE and there's a quote that posts then cancels in a millisecond, you're kinda' like the Hubble telescope peering back into deep space a billion or so years ago, observing things that happened then ended long ago. And me, I don't like wasting My CPU cycles processing garbage or paying for network bandwidth full of market data that's stale and useless.
Sure. But the referred-to authors don't. The amount of disinformation, fake expertise, and unsubstantiated accusations/allegories/hints cross well into negligence territory. NxCore is well spoken of. With all those brains and all that data, why don't they ask someone who knows wtf their talking about?