Ultrafast Computerized Trading

[Tams 20]

now you know who's on the other side of your trade...

 

 

Arrest Over Software Illuminates Wall St. Secret

 

http://www.nytimes.com/2009/08/24/business/24trading.html

 

 

Mr. Aleynikov, who is free on $750,000 bond, is suspected of having taken pieces of Goldman software that enables the buying and selling of shares in milliseconds. Banks and hedge funds use such programs to profit from tiny price discrepancies among markets and in some instances leap in front of bigger orders.

 

 

 

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[UrmaBlume 10]

Thanks Tams.

 

That all of that power is on the "other side" is the bad news.

 

The good news is that not all of those trades are closed within fractions of a second and what is left over carries a bias that is detectable.

 

This intense - "Ultrafast Computerized Trading" is the trade that often forms local extremes as it did Yesterday the 24th. You can see how yesterday's extremes were made by exactly this kind of trade in this post

 

cheers

[BlowFish 10]

The problem is not how quickly the orders are closed it is that by participating in Direct Edges Enhanced Liquidity Provider Program (ELP) and the NYSE's supplementary liquidity provider program they (Goldmans) can see the order flow before it even hits the exchange. Couple this with flash trading and you essentially have high speed front running. I can't see how the stolen algos would be of any use to participants that don't enjoy the same privileges that Goldmans do.

 

Zerohedge blog has great coverage of this (though it can be difficult reading for my simple mind).

[MoreYummy 10]

If they can see before everyone else supposed to be seen, then it is something should be fixed.

[trade101 10]

Hi,

Software speed ahead of anybody else doesn't mean very much, only in some occasions...

Edited August 27, 2009 by trade101

[MoreYummy 10]

If its about software, then ok. If they have better way to access information before it actually got into the public exchange info pool, that's an issue.

[trade101 10]

iT IS ACTUALLY - i AGREE - BY FACT NOT BY HOW MUCH SOMEBODY CAN GAIN OR LOOSE FROM THAT.

[MoreYummy 10]

It is about software? Or something else.