{"id":186686,"date":"2013-11-17T21:20:00","date_gmt":"2013-11-18T02:20:00","guid":{"rendered":"https:\/\/www.panix.com\/~msaroff\/40years\/2013\/11\/17\/remember-when-i-wrote-that-high-frequency-trading-was-front-running\/"},"modified":"2013-11-17T21:20:00","modified_gmt":"2013-11-18T02:20:00","slug":"remember-when-i-wrote-that-high-frequency-trading-was-front-running","status":"publish","type":"post","link":"https:\/\/www.panix.com\/~msaroff\/40years\/2013\/11\/17\/remember-when-i-wrote-that-high-frequency-trading-was-front-running\/","title":{"rendered":"Remember When I Wrote that High Frequency Trading was Front-Running?"},"content":{"rendered":"<p>Well, Yves Smith has found a <a href=\"http:\/\/www.nakedcapitalism.com\/2013\/11\/the-wall-street-code-hft-whisteblower-haim-bodek-on-algorithmic-trading.html\">whistleblower video that is a must watch<\/a>: (Background on front-running <a href=\"http:\/\/40yrs.blogspot.com\/search?q=front-running&amp;max-results=20&amp;by-date=true\">here<\/a>):<\/p>\n<p><iframe loading=\"lazy\" allowfullscreen=\"\" frameborder=\"0\" height=\"281\" src=\"\/\/www.youtube.com\/embed\/kFQJNeQDDHA\" width=\"500\"><\/iframe><\/p>\n<p>Yes, it&#8217;s almost an hour long but the short version:<\/p>\n<blockquote><p><span style=\"color: blue;\">Mr. Bodek had been using common \u201climit orders,\u201d which specify a price limit at which to buy or sell. Mr. Davidovich, according to Mr. Bodek, suggested that he instead use an order type called Hide Not Slide, which Direct Edge had introduced in early 2009, about the same time Trading Machines\u2019 performance started to suffer.<\/span><br \/><span style=\"color: blue;\"><br \/><\/span><span style=\"color: blue;\">Mr. Bodek says Mr. Davidovich told him Direct Edge had created this order type\u2014which lets traders avoid having their orders displayed to the rest of the market\u2014to attract high-frequency trading firms\u2026<\/span><br \/><span style=\"color: blue;\"><br \/><\/span><span style=\"color: blue;\">Mr. Bodek says he realized the orders he was using were disadvantaged, compared with Hide Not Slide orders. He says he found that in certain situations, the fact that a Hide Not Slide order was hidden allowed it to slip in ahead of some one-day limit orders that had been entered earlier. He also learned that other stock exchanges had order types somewhat like Hide Not Slide, with different twists.<\/span><br \/><span style=\"color: blue;\"><br \/><\/span><span style=\"color: blue;\">\u201cMan I feel like an idiot. Never grasped the full negative alpha embedded in a normal day limit,\u201d Mr. Bodek emailed Mr. <\/span><\/p><\/blockquote>\n<p>We really need to start prosecuting these rat-f%$#s.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Well, Yves Smith has found a whistleblower video that is a must watch: (Background on front-running here): Yes, it&#8217;s almost an hour long but the short version: Mr. Bodek had been using common \u201climit orders,\u201d which specify a price limit at which to buy or sell. Mr. Davidovich, according to Mr. Bodek, suggested that he &hellip;<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[1060,970,1004],"tags":[],"class_list":["post-186686","post","type-post","status-publish","format-standard","hentry","category-computer","category-corruption","category-finance"],"_links":{"self":[{"href":"https:\/\/www.panix.com\/~msaroff\/40years\/wp-json\/wp\/v2\/posts\/186686"}],"collection":[{"href":"https:\/\/www.panix.com\/~msaroff\/40years\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.panix.com\/~msaroff\/40years\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.panix.com\/~msaroff\/40years\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.panix.com\/~msaroff\/40years\/wp-json\/wp\/v2\/comments?post=186686"}],"version-history":[{"count":0,"href":"https:\/\/www.panix.com\/~msaroff\/40years\/wp-json\/wp\/v2\/posts\/186686\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.panix.com\/~msaroff\/40years\/wp-json\/wp\/v2\/media?parent=186686"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.panix.com\/~msaroff\/40years\/wp-json\/wp\/v2\/categories?post=186686"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.panix.com\/~msaroff\/40years\/wp-json\/wp\/v2\/tags?post=186686"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}