TheNanex

I am a big fan of Edward Tufte.

Are you saying the SIP runs on the best hardware/software available? I want to get that cleared up before moving on to a new topic.

Wealthy friends with promises of a nice job (and other things)

Pretty sure NYSE's ancient creaky FIX gateway is infinitely faster than the NYSE ARCA gateway - as the latter, while more network efficient, isn't going to ever take your packets to NYSE.

NYSE and NYSE ARCA are different exchanges.

He's right - if you weren't part of the group that was paying them over $100M/year in fees for "real-time" data and you weren't buying or selling stock in 2008, 2009, 2010 and 2011, it probably didn't impact you at all.

Are you from Citadel?

Would you trust Wall Street to give you the best price on anything if there was no way to verify it?

There is no way to reasonably know if you are getting the best price (because they can change many times in the same second).

You are relying on the internalizer to give you the best of many possible prices. History says: "that's not going to happen"

The SIP (consolidated feed) is tasked with using the most efficient hardware and software available. If a private company can consolidate faster than the SIP, then the SIP isn't using the most efficient hardware and software available now is it?

Pretty simple.

The exchanges take in $500M a year in SIP fees, which are supposed to go to the most efficient hardware and software available. Pretty sure that's not happening.

Where to begin.

The retail investor gets the slowed down price (the NBBO is really what the internalizer/wholesaler saw from the SIP when they executed your order). That same internalizer buys/sells from the faster feed. Whenever the two feeds are out of sync, it's like printing money.

"The price for getting a direct line is not unreasonable?" I just laughed out loud reading that. Is $60,000/month for just one exchange (there are a dozen), reasonable? Then you need network engineers, infrastructure, etc. It used to be nowhere near this expensive for "real-time" data. Orders of magnitude less.

Excellent question: they were ECSTATIC to pay $5M

Covington and Burling - who represented the NYSE in this matter, used the paltry $5M fine as bragging rights in their year end letter to clients! 'We got the NYSE off with just $5M'

Nice.

Nothing will make it move more quickly. As for tips, in no particular order: 1) don't tell anyone (for many reasons) 2) you don't need a lawyer in the first stage 3) be sure you have rock solid proof 4) do not risk your career 5) prepare to be called every name imaginable when others find out (they always do) 6) have a solid support network of family/friends 7) seek the advice of someone wise that you trust 8) remember: wall street always wins

I don't have a name for that chart. It's a customized display I wrote that I found makes it easiest to view quote spreads and trades from multiple exchanges. I write in "c" combining simple graphics: lines, pixels and text.

It happens all the time (ALL. THE. TIME.) and have documented dozens of examples. There are links to many of those examples on that page (fantaseconds).

I've also posted many examples on twitter @nanexllc using recent data (yes, this is still a problem!)

I was ignored by the Trading and Markets people at the SEC, but not ignored (obviously) by the Enforcement people.

Yikes. Lots of misinformation here.

First of all, this has nothing to do with High-Frequency Trading. It's about the NYSE not delivering a product (SIP real-time data) while collecting $100M a year for that service. This was happening for at least 3 years.

I am a champion of free markets. The term "High-Frequency Trading critic" is a label others use when they either can't understand and/or refute solid evidence.

I'm happy to answer questions.