3 ms·
If the total value of any trades that might have been made in the claimed 400ms window was only $50k, it would suggest to me that there was nothing untoward goi
by elemeno 14y ago
If the total value of any trades that might have been made in the claimed 400ms window was only $50k, it would suggest to me that there was nothing untoward going on, and that this story is most likely nothing more than a clock error. For any of the HF firms, prop houses and Hedge Funds that I've run into (which is not a short list, but my no means exhaustive, given that I work in finance) $50,000 is not interesting action - especially since transaction fees will eat away a reasonable chunk of that.
- niggler 14y agoIt is a clock issue, as observed by others in this thread. I would point to http://news.ycombinator.com/item?id=5146571 http://news.ycombinator.com/item?id=5146571 because its clear from nanex's response that he hasn't fully thought through the clocking issues with using CQS data without observing it directly himself.
- apaprocki 14y agoOr, it's not a clock issue: http://live.wsj.com/video/banging-the-beehive-explained/A943CC10-8E9D-45E6-B986-A73352A7CF03.html http://live.wsj.com/video/banging-the-beehive-explained/A943...
- niggler 14y agoHave you looked at the raw data in this particular case? The particular deviation that nanex points to isn't borne out in the exchange raw feeds ...