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According to the NYSE's program trading report: http://www.nyse.com/pdfs/PT06.15.09.pdf http://www.nyse.com/pdfs/PT06.15.09.pdf Program (or quant) trading acc
by dandelany 17y ago
According to the NYSE's program trading report:
http://www.nyse.com/pdfs/PT06.15.09.pdf http://www.nyse.com/pdfs/PT06.15.09.pdf
Program (or quant) trading accounted for 40.4% of all NYSE trading volume during the week of 6/15 - 6/19. Goldman's program accounted for the more of this than any other firm, almost 1.2 billion shares, or 20.6% of all program trades. Ostensibly, this guy made off with the algos responsible for (.206 * .404 =) 8.3% of all NYSE trades. It's quite possible this is the world's most valuable source code. There are lots of people claiming that the code is useless without their infrastructure, but knowing exactly how GS makes their trading decisions allows anyone who holds the information to engage in front-running, or set traps for them by pushing stock prices one way or the other in order to trigger their system to buy or sell.
Even stranger, the report for the following week:
http://www.nyse.com/pdfs/PT06.22-06.26.pdf http://www.nyse.com/pdfs/PT06.22-06.26.pdf
shows an incredible increase in quant trading share, making up 48.6% of all NYSE trades, but Goldman isn't even on the list (after leading it the previous week). NYSE claims this is an error:
http://zerohedge.blogspot.com/2009/07/new-york-stock-exchange-we-screwed-up.html http://zerohedge.blogspot.com/2009/07/new-york-stock-exchang...
Surprisingly, GS is up 2% on the day.
http://www.google.com/finance?q=GS http://www.google.com/finance?q=GS
Something majorly fishy is going on.