Plundered by Harpies: An Early History of High-Speed Trading [pdf]

Loved the history. Don't imagine that traders will ever stop trying to get an advantage. I find it fascinating that even the postmaster thought an informational edge was unfair. Important to remember that those with a speed edge, even today, end up quickly converging the markets, and eliminating their own opportunity away.

Also there is a clear distinction between a speed edge and outright illegal acts. Cutting telegraph wires reminds me of modern day equivalents... ie. Enron calling generation plant operators to shut down.

> Receiving information first was so valuable that some speculators, at times in cahoots with telegraph operators, were willing to cut the telegraph wire after the news had been received!

How nice to learn that scorching the earth, and destroying [anything of] value to create wealth has such a well-established pedigree and history.

One interesting idea from the the "Flash Boys" discussion comes to mind. What would happen if trade executions happened ONLY in timed batches? When the exchange first opens for the day, pull a random number from RNG that provides values from a power distribution. The number will be the delay until the next execution time. Queue executions, and at the given time process them with the standard best-price execution algorithm. (Yes, some of the queued executions would be voided because the stocks on offer had been matched already at a lower price.) Then pull the next random execution delay. Rinse and repeat until stock exchange closes for the day.

I'd love to see how that would affect the HFT front-runners.

(Disclosure: I work for a betting exchange. I have a decent understanding how trading exchanges operate under the hood.)