Back To The Future It will be a long talk today. I will not take your time more. Now just directly listen to what  Larry L...
When I first read the headline to the following article I thought it was a joke. I later found out that it comes from Nane...
If Marty McFly and Doc. Brown were in a movie today they wouldn’t need a flux-capacitor for time travel, they would simply...
HFT Breaks Speed-of-Light Barrier, Sets Trading Speed World Record Adds a new unit of time measurement to the lexicon: fan...
On September 15, 2011, beginning at 12:48:54.600, there was a time warp in the trading of Yahoo! (YHOO) stock. HFT has rea...
It all happened in just over one second of trading, the evidence buried under an avalanche of about 19,000 quotations and ...
Based on official exchange timestamps, there is unmistakable proof that YHOO trades were executed on quotes that didn’t ex...
Millions of traders depend on the accuracy of exchange timestamps — especially after bad timestamps were found to be a key...
We are confident the exchange timestamp problem has been completely addressed by now: the SEC would have made sure of it. ...
Based on recent marketing materials, the exchanges are practically experts on measuring time. And with hundreds of million...
So we can be certain the exchange timestamps were accurate, which means that HFT has truly entered the era of the fantasec...
But let us suppose for a moment that in reality, quotes became queued (delayed) and were timestamped after leaving this qu...
After detailed analysis of the UQDF data feed (see chart below) that transmits this information to traders, we find that t...
So it doesn’t appear there were any capacity problems which have always been an excellent indication of feed delay. This r...
Does this mean there are far more delays than we previously thought? Is there a delay every time we see an explosion of qu...
Regulation NMS is pretty clear that direct exchange feeds are prohibited from having a speed advantage over the UQDF data ...
The NBBO lies at the heart of Regulation NMS (Reg. NMS) and is the key concept that assures investors are getting the best...
The first chart is a 250 ms interval chart of the NBBO in YHOO which is plotted as vertical lines and colored red if the N...
… The next chart is the same as the one above, but includes trade executions which are plotted as dots or squares and are ...
The dots/squares should trail after the quotes. Up to the point in time that is labeled “A”, and after the point labeled “...
… By plotting quotes and trades from just one of the active exchanges, we can easily measure how far in time the trade mes...
Below is a 1 millisecond interval chart of YHOO showing only Nasdaq trades (black circles) and the Nasdaq bid-ask spread (...
What was that Mr. Analyst on television? It’s a “free market?” Everyone has the SAME OPPORTUNITY to make or lose money; th...
Get off the Hopium Pipe before your brain completely melts Jack. Said another way: Peddle that BS to someone who may still...
Trade well and follow the trend, not the so-called “experts.” Behold the age of infinite moral hazard! On April 2nd, 2009 ...
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Day Trading Blog : Back to The Future

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It will be a long talk today. I will not take your time more. Now just directly listen to what Larry Levin would like to share with us in “Back To The Future”.

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Day Trading Blog : Back to The Future

  1. 1. Back To The Future It will be a long talk today. I will not take your time more. Now just directly listen to what Larry Levin would like to share with us in “Back To The Future”.
  2. 2. When I first read the headline to the following article I thought it was a joke. I later found out that it comes from Nanex, the ONLY firm on the planet I know of that is watching the thieving banking mafia like a hawk watches its prey moments before a kill. The SEC should be doing this, but it doesn’t give a damn because, well, Congress doesn’t give a damn.
  3. 3. If Marty McFly and Doc. Brown were in a movie today they wouldn’t need a flux-capacitor for time travel, they would simply need the latest and greatest HFT algorithm.
  4. 4. HFT Breaks Speed-of-Light Barrier, Sets Trading Speed World Record Adds a new unit of time measurement to the lexicon: fantaseconds.
  5. 5. On September 15, 2011, beginning at 12:48:54.600, there was a time warp in the trading of Yahoo! (YHOO) stock. HFT has reached speeds faster than time itself. Up to 190 milliseconds into the future, or 0.19 fantaseconds is the record so far.
  6. 6. It all happened in just over one second of trading, the evidence buried under an avalanche of about 19,000 quotations and 3,000 individual trade executions. The facts of the matter are indisputable.
  7. 7. Based on official exchange timestamps, there is unmistakable proof that YHOO trades were executed on quotes that didn’t exist until 190 milliseconds later!
  8. 8. Millions of traders depend on the accuracy of exchange timestamps — especially after bad timestamps were found to be a key factor in the disastrous market crash known as the flash crash of May 2010.
  9. 9. We are confident the exchange timestamp problem has been completely addressed by now: the SEC would have made sure of it. It’s not like adding accurate timestamps is rocket science, or even considered a difficult problem.
  10. 10. Based on recent marketing materials, the exchanges are practically experts on measuring time. And with hundreds of millions in annual data feed subscriptions paid by the same subscribers expecting quotes with accurate timestamps, there is no shortage of funds to make it happen.
  11. 11. So we can be certain the exchange timestamps were accurate, which means that HFT has truly entered the era of the fantasecond.
  12. 12. But let us suppose for a moment that in reality, quotes became queued (delayed) and were timestamped after leaving this queue.
  13. 13. After detailed analysis of the UQDF data feed (see chart below) that transmits this information to traders, we find that the traffic rate for both the total of all output lines and specifically multicast line #6 which carries YHOO, were both well below peak rates.
  14. 14. So it doesn’t appear there were any capacity problems which have always been an excellent indication of feed delay. This raises a few thorny questions.
  15. 15. Does this mean there are far more delays than we previously thought? Is there a delay every time we see an explosion of quotes in one stock? Because that sort of thing happens. All the time.
  16. 16. Regulation NMS is pretty clear that direct exchange feeds are prohibited from having a speed advantage over the UQDF data feed. UQDF computes the NBBO after all. So how does one ensure trade-through price protection if the price being protected hasn’t even occurred yet?
  17. 17. The NBBO lies at the heart of Regulation NMS (Reg. NMS) and is the key concept that assures investors are getting the best price when buying or selling stocks. Maybe it would be better to just fantasize about fantaseconds after all.
  18. 18. The first chart is a 250 ms interval chart of the NBBO in YHOO which is plotted as vertical lines and colored red if the NBBO was crossed during the interval, yellow if it was locked, and gray if it was normal. The implied quote rate is shown as a histogram at the bottom — and scaled in quotes/second. We will focus on the time shown in the black circle.
  19. 19. … The next chart is the same as the one above, but includes trade executions which are plotted as dots or squares and are sized according to trade size. Each reporting exchange uses a unique color and shape. An exchange code table appears at the end of this page. What is unusual about this chart is that trades are reported ahead of quotes.
  20. 20. The dots/squares should trail after the quotes. Up to the point in time that is labeled “A”, and after the point labeled “B”, trades and quotes were in sync. Between these two points is where the quote timestamps began falling behind.
  21. 21. … By plotting quotes and trades from just one of the active exchanges, we can easily measure how far in time the trade messages came before the quotes and therefore estimate the minimum amount of time the quotes were delayed.
  22. 22. Below is a 1 millisecond interval chart of YHOO showing only Nasdaq trades (black circles) and the Nasdaq bid-ask spread (gray vertical bars). The full article and charts mentioned, but not shown above, can be found here http://www.nanex.net/Research/fantaseconds/fantaseconds.html
  23. 23. What was that Mr. Analyst on television? It’s a “free market?” Everyone has the SAME OPPORTUNITY to make or lose money; there are no special people in “free markets?”
  24. 24. Get off the Hopium Pipe before your brain completely melts Jack. Said another way: Peddle that BS to someone who may still believe it. I aint buying it. That game is RIGGED.
  25. 25. Trade well and follow the trend, not the so-called “experts.” Behold the age of infinite moral hazard! On April 2nd, 2009 CONgress forced FASB to suspend rule 157 in favor of deceitful accounting for the TBTF banksters.

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