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Highly recommend Flash Boys by Michael Lewis (author of The Big Short which was also a great film adaptation). It follows the trail of High Frequency Trading to

Highly recommend Flash Boys by Michael Lewis (author of The Big Short which was also a great film adaptation). It follows the trail of High Frequency Trading to uncover how this was used to front load orders and along with other unsavory tactics like dark pools essentially turn the stock market into a rigged game. Of course they’re effects have been dampened in the decade since, due to regulatory pressures once it was more generally understood what HFT firms were actually doing. I’m not sure to what extent it constituted financial crime versus just being an ethical grey zone, and the book is of course not without its share of criticism, but it was certainly an enjoyable read.

unmole 4y ago
> Part misguided hit piece on High Frequency Trading, part hagiography of Brad Katsuyama and part native advertisement for the IEX stock exchange: Flash Boys is utterly without merit. Michel Lewis valiantly tries to project large institutional investors as heroic victims while repeatedly making the unsubstantiated claim that the markets are rigged. Even putting the bias aside, the book could be cut down to a long-form article while conveying exactly the same amount of information. Would not recommend.
- MagnumOpus 4y ago
  Let me guess, you work/worked for a HFT? As someone with experience of markets microstructure, the book was interesting/insightful and definitely not "utterly without merit".
  - kennend3 4y ago
    Interesting.. As someone with pretty close ties to what Brad built prior to starting IEX.. I found the book "Brad's resume" as well as propaganda for IEX. The book should have some sort of "paid advertisement" disclosure. It is interesting how your opinion seems to be anyone who is critical of this book "works for HFT's"?
- rajman187 4y ago
  While it’s been a long time since I read it, I definitely did not come away with the conclusion that he tried to “project large institutional investors as heroic victims” by any means
- kennend3 4y ago
  hagiography - THIS accurately describes the book!!
pclmulqdq 4y ago
I couldn't disagree more on Flash Boys. After reading it, it was clear that Michael Lewis did not understand the microstructure of markets. He collected a bunch of stories from his hedge fund buddies about how the people who were eating their lunch were somehow "front-running" them (which they are not), "distorting the market" (pushing off-exchange trading to legitimately established dark pools rather than your circle of golf buddies), and "breaking the rules" (without citing any exchange rules). From someone who used to be in the industry, there are lots of things to complain about, and HFTs engage in lots of unfair practices (eg PFOF). Michael Lewis doesn't understand them or what they are.
- FabHK 4y ago
  Could you elaborate on what's wrong with payment for order flow? It seems to enable zero commission brokers with prices (bid-ask spreads) that are reasonable, and at any rate better than the national best bid offer, as required by law.
  - pclmulqdq 4y ago
    PFOF allows market participants to selectively hide information that was historically important for stock prices (retail demand) from the rest of the market, which may result in larger spreads due to price uncertainty. The other side of the zero commissions is that retail investors are almost certainly paying for larger spreads than they would otherwise get on the open market (if not, buying order flow wouldn't be worth it for order flow buyers). As an example, I once A/B tested interactive brokers vs robinhood on their execution quality. With notional volumes of a few thousand dollars per trade, the IB commission was very much worth it compared to the poor execution quality from RH. The issue is that many consumers don't understand that a free brokerage can actually be more expensive for them than a more expensive brokerage.
    - unmole 4y ago
      > The other side of the zero commissions is that retail investors are almost certainly paying for larger spreads than they would otherwise get on the open market All brokers are obligated to fill orders within the National Best Bid Offer spread. A retail trader can't get a better price on the open market. > As an example, I once A/B tested interactive brokers vs robinhood on their execution quality. IB sells retail orders to market makers too. This has more to do with Robinhood being awful than with PFOF being detrimental by itself.
mymythisisthis 4y ago
The life and death of Ivar Kreuger https://archive.org/details/lifedeathofivark00stonrich https://archive.org/details/lifedeathofivark00stonrich If you liked reading Lewis check out this book from 1932. Ivar Kreuger tried to buy up all the match factories in the world and create a monopoly for himself.

unmole 4y ago

> Part misguided hit piece on High Frequency Trading, part hagiography of Brad Katsuyama and part native advertisement for the IEX stock exchange: Flash Boys is utterly without merit. Michel Lewis valiantly tries to project large institutional investors as heroic victims while repeatedly making the unsubstantiated claim that the markets are rigged. Even putting the bias aside, the book could be cut down to a long-form article while conveying exactly the same amount of information. Would not recommend.

MagnumOpus 4y ago
Let me guess, you work/worked for a HFT? As someone with experience of markets microstructure, the book was interesting/insightful and definitely not "utterly without merit".
- kennend3 4y ago
  Interesting.. As someone with pretty close ties to what Brad built prior to starting IEX.. I found the book "Brad's resume" as well as propaganda for IEX. The book should have some sort of "paid advertisement" disclosure. It is interesting how your opinion seems to be anyone who is critical of this book "works for HFT's"?
rajman187 4y ago
While it’s been a long time since I read it, I definitely did not come away with the conclusion that he tried to “project large institutional investors as heroic victims” by any means
kennend3 4y ago
hagiography - THIS accurately describes the book!!

pclmulqdq 4y ago

I couldn't disagree more on Flash Boys. After reading it, it was clear that Michael Lewis did not understand the microstructure of markets. He collected a bunch of stories from his hedge fund buddies about how the people who were eating their lunch were somehow "front-running" them (which they are not), "distorting the market" (pushing off-exchange trading to legitimately established dark pools rather than your circle of golf buddies), and "breaking the rules" (without citing any exchange rules). From someone who used to be in the industry, there are lots of things to complain about, and HFTs engage in lots of unfair practices (eg PFOF). Michael Lewis doesn't understand them or what they are.

FabHK 4y ago
Could you elaborate on what's wrong with payment for order flow? It seems to enable zero commission brokers with prices (bid-ask spreads) that are reasonable, and at any rate better than the national best bid offer, as required by law.
- pclmulqdq 4y ago
  PFOF allows market participants to selectively hide information that was historically important for stock prices (retail demand) from the rest of the market, which may result in larger spreads due to price uncertainty. The other side of the zero commissions is that retail investors are almost certainly paying for larger spreads than they would otherwise get on the open market (if not, buying order flow wouldn't be worth it for order flow buyers). As an example, I once A/B tested interactive brokers vs robinhood on their execution quality. With notional volumes of a few thousand dollars per trade, the IB commission was very much worth it compared to the poor execution quality from RH. The issue is that many consumers don't understand that a free brokerage can actually be more expensive for them than a more expensive brokerage.
  - unmole 4y ago
    > The other side of the zero commissions is that retail investors are almost certainly paying for larger spreads than they would otherwise get on the open market All brokers are obligated to fill orders within the National Best Bid Offer spread. A retail trader can't get a better price on the open market. > As an example, I once A/B tested interactive brokers vs robinhood on their execution quality. IB sells retail orders to market makers too. This has more to do with Robinhood being awful than with PFOF being detrimental by itself.

mymythisisthis 4y ago

The life and death of Ivar Kreuger https://archive.org/details/lifedeathofivark00stonrich https://archive.org/details/lifedeathofivark00stonrich If you liked reading Lewis check out this book from 1932. Ivar Kreuger tried to buy up all the match factories in the world and create a monopoly for himself.