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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-ti

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.

kbenson 11y ago
Can you comment on how hard it was to find another period exhibiting this behavior? The article says We chose this period because there was a noticeable lag in the public quote from the NYSE versus quotes from other exchanges, allowing us to rule out the consolidation process as a source of the delay. Did you have to look for a few periods to see the behavior, or did you look for a few to get a sample that showed the problem more clearly? Do you have any info on how often lag was present, or how often over a specific threshold? Do you know how representative you sample was with respect to when lag was present? I understand you may not have gone into this much detail in your research, but if you have any info like this, I think it helps illustrate the scope of the problem.
- kdkooo 11y ago
  I second that answers to these types of questions would be very helpful! The more context the better.
- fnordfnordfnord 11y ago
  http://www.nanex.net/NxResearch/ResearchPage/5/ http://www.nanex.net/NxResearch/ResearchPage/5/
- TheNanex 11y ago
  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!)
PhantomGremlin 11y ago
It's about the NYSE not delivering a product (SIP real-time data) while collecting $100M a year for that service And, just to be clear, the NYSE generously agreed to pay a $5M fine as punishment? The actual SEC order is linked to by Nanex, and can be found here: http://sec.gov/litigation/admin/2012/34-67857.pdf http://sec.gov/litigation/admin/2012/34-67857.pdf It explains NYSE's failings in more detail, e.g. "Inadequate Compliance Efforts" and "Failure to Retain Business Records".
- TheNanex 11y ago
  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.
jordanbaucke 11y ago
@TheNanex, Eric? I have always been facinated by the underlying technology that drives Nanex's products. I follow http://www.nanex.net/NxResearch/ http://www.nanex.net/NxResearch/ regularly and would like to see some more technical anotomy of some of the tools you guys have built. Thanks and great work!
bcg1 11y ago
Thank you for the work you do Eric. The light you shine on the dark parts of markets is incredible.
FilthyAnalyst 11y ago
Please send me info on variable rate annuities and what they can do for my family.
deleted 11y ago
[deleted]
- TheNanex 11y ago
  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
officialchicken 11y ago
Please excuse my ignorance if this question is dumb, but what is the name of the kind of Chart 3? I've never seen one like it and it's fascinating to me - it seems like it's a 2d line graph with some shaded regions, but not a heat map.
- TheNanex 11y ago
  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.
  - officialchicken 11y ago
    Then I propose "TheNanex c chart". It's information rich, multi-multi-dimensional, and really tells the story in a nutshell. I printed one out and put it on my "Tufte" shelf [1]. Edit: Add [1] https://en.wikipedia.org/wiki/Edward_Tufte https://en.wikipedia.org/wiki/Edward_Tufte
    - TheNanex 11y ago
      I am a big fan of Edward Tufte.
michaelwsherman 11y ago
Hey, a bit late to the game here, but I just want to say I'm a huge fan of your work. At my last job I worked on one of the Reg CAT bids, and I spent a lot of time looking at Nanex Research--totally mind blowing. The markets would be a better place if the regulators were doing Nanex-style analysis. Keep up the good work!

kbenson 11y ago

Can you comment on how hard it was to find another period exhibiting this behavior? The article says We chose this period because there was a noticeable lag in the public quote from the NYSE versus quotes from other exchanges, allowing us to rule out the consolidation process as a source of the delay. Did you have to look for a few periods to see the behavior, or did you look for a few to get a sample that showed the problem more clearly? Do you have any info on how often lag was present, or how often over a specific threshold? Do you know how representative you sample was with respect to when lag was present? I understand you may not have gone into this much detail in your research, but if you have any info like this, I think it helps illustrate the scope of the problem.

kdkooo 11y ago
I second that answers to these types of questions would be very helpful! The more context the better.
fnordfnordfnord 11y ago
http://www.nanex.net/NxResearch/ResearchPage/5/ http://www.nanex.net/NxResearch/ResearchPage/5/
TheNanex 11y ago
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!)

PhantomGremlin 11y ago

It's about the NYSE not delivering a product (SIP real-time data) while collecting $100M a year for that service And, just to be clear, the NYSE generously agreed to pay a $5M fine as punishment? The actual SEC order is linked to by Nanex, and can be found here: http://sec.gov/litigation/admin/2012/34-67857.pdf http://sec.gov/litigation/admin/2012/34-67857.pdf It explains NYSE's failings in more detail, e.g. "Inadequate Compliance Efforts" and "Failure to Retain Business Records".

TheNanex 11y ago
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.

jordanbaucke 11y ago

@TheNanex, Eric? I have always been facinated by the underlying technology that drives Nanex's products. I follow http://www.nanex.net/NxResearch/ http://www.nanex.net/NxResearch/ regularly and would like to see some more technical anotomy of some of the tools you guys have built. Thanks and great work!

bcg1 11y ago

Thank you for the work you do Eric. The light you shine on the dark parts of markets is incredible.

FilthyAnalyst 11y ago

Please send me info on variable rate annuities and what they can do for my family.

deleted 11y ago

[deleted]

TheNanex 11y ago
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

officialchicken 11y ago

Please excuse my ignorance if this question is dumb, but what is the name of the kind of Chart 3? I've never seen one like it and it's fascinating to me - it seems like it's a 2d line graph with some shaded regions, but not a heat map.

TheNanex 11y ago
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.
- officialchicken 11y ago
  Then I propose "TheNanex c chart". It's information rich, multi-multi-dimensional, and really tells the story in a nutshell. I printed one out and put it on my "Tufte" shelf [1]. Edit: Add [1] https://en.wikipedia.org/wiki/Edward_Tufte https://en.wikipedia.org/wiki/Edward_Tufte
  - TheNanex 11y ago
    I am a big fan of Edward Tufte.

michaelwsherman 11y ago

Hey, a bit late to the game here, but I just want to say I'm a huge fan of your work. At my last job I worked on one of the Reg CAT bids, and I spent a lot of time looking at Nanex Research--totally mind blowing. The markets would be a better place if the regulators were doing Nanex-style analysis. Keep up the good work!