Discover and read the best of Twitter Threads about #HFT

Most recents (4)

#Responsibility of #programmers for their #algorithms
😇Shooting stars: from expert advisor to #spoofing criminal
👉Spoofing #algo coder partially acquitted
🤦‍♂️CFTC and FBI fail with indictment of the programmer who developed the algo at the heart of the infamous 2010 #FlashCrash
😇Jitesh Thakkar, the founder and president of Edge Financial Technologies, one of the leading firms for #software development for #algorithmic and #highfrequencytrading #hft, was acquitted on April 9th, 2019 of the count of #conspiracy to commit spoofing.
⚠️Thakkar’s case is the first in the US where a programmer is prosecuted for his involvement in the development of a manipulative algorithm and shows regulators’ willingness to prosecute programmers in addition to the users of such algorithms.
Read 7 tweets
To know Aleynikov case is to know their code was made from GitHub open source code bits and pieces in the first place :)
#AI #ML #ArtificialIntelligence #HFT AND #IP #intellectualproperty #github

wsj.com/amp/articles/g…

1. US v. Aleynikov, No. 11-1126, 2nd Cir., 11 avril 2012
Two cases:

1. United States v. Aleynikov, No. 11-1126, 2nd Cir. 2012, 11 avril 2012

2. People v. Aleynikov, 2015 NY Slip Op 25229, 49 Misc 3rd 286, 7 juillet 2015
Read 3 tweets
Arbitraggio di "latenza" e frammentazione della struttura del mercato US sono i concetti (da approfondire) su cui si basa la manipolazione del mercato americano, grazie al ruolo svolto da #HFT e Quants
per iniziare un video che rappresenta un "must"
#ES_F
Ogni rettangolo colorato nel video è un exchange,ce ne sono 13 che tradano equities US ma controllati da 3 gruppi,Nasdaq/Nyse/Cboe quest'ultimo domina su opzioni e futures con CME. Ma ogni giorno il 40% del volume di scambi avviene nell'oscurità delle dark pool (oggi 2,15 mld $!)
Qui incominciamo a vedere i vari livelli che intercorrono prima di arrivare ad un "buy" per un "comune mortale"...
Read 51 tweets
New from me: Remember that @IEX "speed bump" Michael Lewis profiled in "Flash Boys"?

It's a 350 microsecond delay to inbound orders meant to foil #HFT traders.

An economist at the SEC has studied its impact and found that it's good for investors:
wsj.com/articles/study…
Here is a link to the study:

"Intentional Access Delays, Market Quality, and Price Discovery: Evidence from IEX Becoming an Exchange" by SEC's Edwin Hu

papers.ssrn.com/sol3/papers.cf…
The paper is certainly not the last word on this topic but it does contradict some of the predictions made in comment letters to SEC opposing @IEX "speed bump" - like this letter from Citadel:

sec.gov/comments/s7-03…
Read 3 tweets

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