MARKET STRUCTURE DICTIONARY
BY
BRIAN W. LEITE
An Insider's Guide to the Real Language of
Trading and Exchanges
Over 2700 Entries
Curbstone brokers colocate near the New York Stock Exchange, Circa 1902
High Frequency Trading Channel
New technology spurs focus on ‘the final millisecond’
Sept 13, 2012 The Trade Traditional investors in the US may be responding to the latest developments in high-frequency trading by changing their trading strategies, new data has shown.
Microblink Markets: Sub-Nanosecond Time-Stamping, Synchronization Arrives
Sept 10, 2012 Securities Technology Monitor Certichron and CFN Services say they have pushed the means of timing and synchronizing the work of trading gear and algorithms below a billionth of a second. One rival maker of time-synchronization equipment calls the claim ''pretty questionable.’’
Microblink Markets: Updating All Orders Cut to 1.2 Microseconds
Sept 10, 2012 Securities Technology Monitor Redline Trading Solutions said the third generation of its accelerated ticker plant can update the full depth of all orders on the nation’s stock exchanges in 1.2 microseconds, down from 5.
Redline Delivers Stock Data Updates In Under Two Microseconds
Sub-Microsecond Switch Goes into Testing
Sept 4, 2012 Securities Technology Monitor A Sydney-based financial technology firm said clients have begun testing its trading switch, which routes messages inside high-speed data centers in 130 nanoseconds.
Aug 29, 2012 ModernIR Define irony. Alanis Morrissette called things ironic in song and was criticized for the apparent absence of irony in her verse. So is it ironic, or instead coincidental or paradoxical, that the SEC may consider speeding up information by removing the quiet period around IPOs at the same time that many are calling on regulators to slow down trading markets?
Low Volumes Have Even Less 'Real Money'
High-Frequency Trading Is Costing Investors Billions: Pragma Securities
July 31, 2012 Advanced Trading The firm said it reached that conclusion after studying high-volume stocks and discovering they were more difficult - and expensive - to trade.
Nasdaq Shaves 2+ Microseconds, With 40G Connections
July 26, 2012 Securities Technology Monitor Nasdaq OMX said that customers using recently introduced 40 gigabit a second connections at its data center in Carteret,N.J., are seeing order acknowledgment times drop by between two to seven millionths of a second.
Algos Needed to Surveill Algos, OMalia Says
June 19, 2012 Securities Technology Monitor "We need to use algorithms to surveill algorithms," Commodity Futures Trading Commission member Scott OMalia said, a day before his Technology Advisory Committee meets to begin to define what constitutes high-frequency trading and how it should be dealt with.
Risk Checking in Under 500 Nanoseconds
July 6, 2012 Traders Magazine With the Securities and Exchange Commission's new rule banning naked access in place, an arms race has developed among trading systems vendors.
Microblink Markets: Zeroing in on Speed Records
June 6, 2012 Securities Technology Monitor It takes you or I somewhere between 300 and 400 milliseconds to blink an eye. That's a thousand times too slow for today's microsecond market operations. Here are 10 measures of what it takes to operate markets now.
Research: Quote Stuffing Aims to Slow Rivals
June 5, 2012 Securities Technology Monitor A University of Illinois research term finds evidence of industry practices consistent with quote stuffing designed to slow down trading in a channel carrying market messages.
Wedbush Looks to Put Buyside on Par with HFTs
June 11, 2012 Traders Magazine Wedbush Securities is courting hedge funds, long-only firms, registered investment advisors and other buyside traders to use the company's new hyper-fast electronic trading infrastructure.
Nasdaq Steps Up Penalty for Excessive Orders, Delays Start
June 1, 2012 Securities Technology Monitor Nasdaq OMX Group delayed the start of its program for curbing excessive orders until July 2. It is going to start the penalties at an order to trade ratio of 100 to 1, instead of 1,000 to 1. Direct Edge started a similar message efficiency program Friday.
US markets in need of repair Themis Trading heads
May 31, 2012 The Trade A new book from the heads of US agency broker Themis Trading states that the combination of new regulations and technology have undermined market structure and prohibit effective capital raising through stock markets.
Regulators Finishing Probes on Layering & Spoofing of Trades
May 24, 2012 Traders Magazine Federal regulators are close to finishing "five or six" investigations that are based on emerging forms of false trading that use high-speed electronic access to markets.
Nanex pins Facebook blame on HFTs
May 24, 2012 The Trade Nanex, a US data analysis firm, has said high-speed traders may have been the primary cause of the delay the Facebook IPO and could have subsequently profited at the expense of retail investors.
Could HFT Hedge Funds Spark a New Flash Crash?
May 21, 2012 Advanced Trading High-frequency trading firms were once the new kids on the block but now there are plenty of hedge funds using similar formulas and the same historical market data to chase alpha. Is this a recipe for disaster?
Wedbush signs 10 buy-side firms to HFT platform
May 17, 2012 The Trade Wedbush Securities, a full service US brokerage and investment bank, has said 10 long-only investment institutions are using its new trading infrastructure that aims to put traditional buy-side firms on a level playing field with high-frequency trading (HFT) outfits.
Forget the Flash Crash. Could a 'Splash Crash' Be On the Horizon?
May 8, 2012 Advanced Trading Progress Software's John Bates says that with more instruments beyond equities becoming electronic and interlinked, the markets are vulnerable to a multi-asset flash event.
Flash Crash AnniversarySees More Oversight
May 7, 2012 Advanced Trading Since the market's loss of nearly 1,000 points two years ago, circuit breakers have been activated with greater frequency.
Flash-Crash Story Looks More Like a Fairy Tale
May 7, 2012 Bloomberg Two years after the frightening spring day when the Dow Jones Industrial Average lost and regained about 600 points in a matter of minutes, we still don't really know why. This is a problem, because it means something similar-- or worse--could happen again.
Two Years After The Flash Crash, Are Markets Any Safer?
May 6, 2012 Forbes Two years ago, an accidental trade in the midst of a jittery market set off a cataclysmic plunge that seemed to defy all reason and pulled back the curtain on high-frequency trading for millions of investors who had no idea that computer-driven strategies account for the lions share of daily market volume.
NYSE boss says high-frequency firms on the move
April 30, 2012 Reuters Increased scrutiny by U.S. regulators and politicians of high-frequency traders is creating an incentive for them to move to less regulated markets inside and outside the United States, Duncan Niederauer, chief executive of NYSE Euronext, said on Monday.
High-Speed Trading: My Laser Is Faster Than Your Laser
April 23, 2012 Bloomberg A few weeks ago I wrote about Project Express, a new fiber-optic cable being built across the Atlantic that will give a select number of high-frequency traders a tiny speed advantage in trading times between New York and London. Currently, data take 64 milliseconds (give or take a few fractions of an eye blink) to travel round-trip between New York and London along a cable built in 1998 called the AC-1.
Under-60 Millisecond Roundtrip Between London, New York Promised
April 23, 2012 Securities Technology Monitor Perseus Telecom and Reliance Communications are upgrading a submarine cable route between the two financial centers so that, by years end, they say will set a new speed record for transferring market data and instructions.
High-Speed Trading Is Progress, Not Piracy
April 10, 2012 Bloomberg They steal from the rich and keep it! That sums up the criticism of E-pirates, aka high-frequency traders, the current bad boys of the financial markets. Many retail and institutional investors believe that as much as $2 billion annually in high-frequency trading profits are coming out of their own pockets.
Cable Across Atlantic Aims to Save Traders Milliseconds
March 29, 2012 Bloomberg In April, the Canadian research ship CoriolisII will set out from Halifax to survey parts of the continental shelf stretching 1,000 miles off the east coast of Nova Scotia.
Global Exchanges Strike Back at Abusive HFT Technique
March 29, 2012 Advanced Trading A growing number of exchanges are fighting quote-stuffing with fees aimed at punishing high-frequency traders for excessive order cancellations.
U.S.securities watchdog probes high-frequency trading firms - report
March 23, 2012 Reuters The U.S. securities watchdog is looking at whether some high-frequency trading firms have used their close links to computerised stock exchanges to gain an unfair advantage over other investors, the Wall Street Journal said.
Q&A: Beware a Tax On Cancelled HFT Orders
March 15, 2012 Advanced Trading As the SEC ponders how to slow down the furious pace of high frequency trading, different ideas have come to light. Advanced Trading spoke with Michael Jenkins, partner in the financial services and strategy practices of A.T. Kearney. Portions of this interview appeared in our March 2012 cover story.
A Former SEC Enforcer On Slowing Down HFT
March 12, 2012 Advanced Trading After years of trading near the speed of light can regulators realistically place a speed limit on high frequency trading? Mark Fickes, a former attorney for the SEC enforcement division and currently with Braun Hegey & Borden of San Francisco, weighs in.
HFTs Adapting to Stay Profitable
March 12, 2012 Traders Magazine High-frequency trading firms and other low-latency traders are expanding their trading strategies and the geographic regions where they trade in order to maintain profits as the U.S. equities market becomes more challenging, one agency broker executive said.
Nasdaq to Charge Heavy Quoters
March 8, 2012 Traders Magazine Nasdaq OMX plans to start penalizing trading firms that quote excessively.
Regulators Contemplate Slamming the Brakes on High-Frequency Trading
March 7, 2012 Advanced Trading Regulators, including the SEC and the CFTC, are struggling to keep up with -- and keep a grip on -- the warp-speed world of high-frequency trading. Fearing that the markets are dangerously out of control, regulators are considering some severe measures to slow down high-speed traders.
Thomson Reuters Adds Social Media to Machine-Readable Newsfeed
March 7, 2012 Traders Magazine Thomson Reuters announced today it is adding a new social media sentiment analysis feed to its machine-readable news product. The service, which already gives users access to news from Reuters and about 50 third-party services, will now provide information from up to 50,000 news sites and four million social media sites.
Q&A: How Can HFT Truly Slow Down?
Feb 27, 2012 Advanced Trading As regulators and politicians look to manage the impact of high-frequency trading, change is coming. Advanced Trading spoke with Jamie Selway, managing director of broker-dealer ITG on what's in store for these high speed-trading firms.
Dimmer Growth Prospects Ahead For High-Frequency Trading Firms
Feb 23, 2012 Advanced Trading With regulators determined to slow down the practice of rapid-fire trading, HFT operations that traditionally focused on speed will need to turn more attention to strategy development, market research firm IBISWorld says.
Feb 16, 2012 Advanced Trading I n the upcoming March Advanced Trading cover story, we look at the efforts to slow down high-frequency traders. Will fines work or are we looking at other filters? AT spoke with Scott DePetris, COO of Portware for his thoughts.
High-Frequency Trades, CFTC Budget, Trading Tax: Compliance
Feb 13, 2012 Bloomberg High-frequency traders may win a partial reprieve from proposed European Union rules designed to prevent a repeat of the so-called flash crash after banks and exchanges including Deutsche Bank AG and NYSE Euronext warned they could damage markets and lead to an exodus of traders.
High-Frequency Trading Declines in Canada
Feb 9, 2012 Advanced Trading Venues that were known for being dominated by high-frequency trading have seen a significant drop-off in the number of orders they handle, according to a report by agency broker Investment Technology Group, Inc.
CFTC Weighs New Rules for High-Frequency Derivatives Trading
Jan 30, 2012 Bloomberg The U.S. Commodity Futures Trading Commission, which is working to complete Dodd-Frank Act rules for derivatives markets, is weighing new rules and oversight of companies that use automated and high-frequency trading systems.
CFTC panel to review high-frequency trading
Jan 30, 2012 Reuters The Commodity Futures Trading Commission is expected to review a rapid-fire technique that allows traders to buy and sell shares at lightning speed, a step that could help it better understand the impact of an activity critics say threatens market stability.
Trichet, Turner Question Real Value of Bigger, Faster Trading
Jan 27, 2012 Bloomberg The technology-driven jump in trading volume has been of little discernible benefit to the real economy and must be more closely watched by regulators, policy makers said at a debate at the World Economic Forum.
Jan 13, 2012 Traders Magazine As regulators start to press their agendas for the coming year, Traders Magazine asked some industry experts what they expect to be the biggest regulatory and market-structure issues of 2012.
Is a Shorter Trading Day the Cure for What Ails the Markets?
Jan 12, 2012 Advanced Trading Volume at the close is way up, and retail investors are nowhere to be seen. Somethimes a sick market needs strong medicine. In this case, it could be a one-hour trading day.
T. Row Price fears high-frequency computer trading
Jan 7, 2012 Baltimore Sun Along with Europe's financial crisis, Middle East unrest and sluggish U.S. growth, mutual-fund seller T. Rowe Price has identified a 2012 economic risk you probably haven't thought about.
HFT Firms Brace for a New, Bolder SEC
January 06, 2012 Advanced Trading The unfolding new year could see the arrival of a new, more powerful Securities and Exchange Commission. Now well have to see how high-frequency-trading firms react, says editor-at-large Ivy Schmerken.
Wall Street Trades at Speed of Light Need Traffic Cops: View
Jan 2, 2012 Bloomberg The past year in U.S. stock markets earned a place in the volatility (VIX) Hall of Fame, coming in just behind the full-blown financial crisis years of 2008 and 2009
Dec 19, 2011 Traders Magazine High-frequency trading may have transformed the country's stock exchanges into ultra-fast, high-volume marketplaces, but it has had little impact on U.S. options exchanges. Five years into the penny tick/maker-taker revolution, high-frequency traders are bit players at best in options.
France Urges Tougher Rules on High-Frequency Trades, Dark Pools
Dec 16, 2011 Bloomberg Frances financial market regulator urged the European Union to toughen its planned overhaul of rules, highlighting the need for more oversight of high-frequency trading and new trading platforms.
Top Stories 2011: Regulators Look to Pacify the Market
Dec 15, 2011 Traders Magazine The Securities and Exchange Commission and other regulators had a busy year, addressing market concerns about how to create a more stable trading environment and restore confidence rattled by last year's flash crash. Regulators introduced a myriad of rules this year and floated new proposals to fix market structure flaws that led to the May 6, 2010 event and to get a better handle on the forces driving the market.
France wants tougher ultra-fast EU trading curbs
Dec 5, 2011 Reuters Draft European Union plans to directly regulate ultra-fast share trading for the first time need strengthening, France's top market regulator said on Monday.
MiFID II Places High-Frequency Trading Squarely in European Regulators' Crosshairs
Dec 3, 2011 Advanced Trading Under the new MiFID II proposal, European regulators are focusing even greater scrutiny on dark pools and high-speed trading. On the bright side, the law won't take effect any time before 2013.
Buy-Side Firms Remain Suspicious of High-Frequency Trading
Nov 26, 2011 Advanced Trading A large slice of the buy side remains concerned about interacting with toxic, high-speed order flow. But many firms continue to struggle to find ways to deal with it.
High-frequency firm fined for trading malfunctions
Nov 25, 2011 Reuters Exchange operator CME Group Inc (CME.O) fined Infinium Capital Management, a U.S. high-frequency trading firm, a total of $850,000 for three separate computer malfunctions that rattled future markets in 2009 and 2010.
High-Frequency Traders Prowl The Web For Even More Data
Nov 22, 2011 Wall Street and Technology Market data both on and off the web is skyrocketing and as hedge funds rebound, they are trying to digest it as quickly as possible.
Post 'flash crash' monitoring emerges at Berkeley
Nov 9, 2011 Reuters Berkeley Lab seeks early warning of future flash crashes.
Factbox: Key outcomes of G20 Cannes summit
Nov 4, 2011 Reuters Following are the main achievements of the Group of 20 heads of state summit in Cannes,France, on November 3-4.
CFTC Preparing Oversight for High-Frequency Firms, Gensler Says
Nov 3, 2011 Bloomberg Derivatives exchanges may be required to establish and enforce new rules to limit risks of high- frequency trading firms, Commodity Futures Trading Commission Chairman Gary Gensler will tell lawmakers today.
High-Frequency Trading to Blame for Market Volatility?
October 31, 2011 Advanced Trading Why is the mystique of software code more important than the surety of security?
Broker-Dealers Modifying Trading Systems to Offer Ultra Low-Latency
Oct 26, 2011 Wall Street & Technology Broker-dealers are modifying their trading systems in order to provide clients with ultralow-latency market connectivity that complies with the new 'naked access' ban.
EU Seeks Curbs on Commodity Derivatives, High-Frequency Trading
Oct 20, 2011 Bloomberg The European Union will seek to limit trading in commodities derivatives and curb high-frequency trading as part of proposals to overhaul the regions financial- market rules.
Watchdogs to keep closer eye on ultra-fast trading
Oct 20, 2011 Reuters Global regulators published guidelines on Thursday to better monitor automated transactions while saying there was little hard evidence to justify reining in high-frequency trading.
Exchanges Need Controls for High-Frequency Trading, IOSCO Says
Oct 20, 2011 Bloomberg Trading venues should take steps to curb risks posed to the financial system by high-frequency and algorithmic trading, the International Organization of Securities Commissions said.
Watchdogs to keep closer eye on ultra-fast trading
Oct 20, 2011. Reuters Stock brokers in Australia may be required to install kill switches to shut off computer trading systems as regulators tke steps to prevent a U.S-style flash crash.
Liquidnet Tries to be Haven From High Speed
October 17, 2011 Advanced Trading The past few months of market volatility have underscored concerns of large fund managers about high frequency trading and the need for a deeper separation from institutional trading, the chief executive of global trading network Liquidnet said on Monday.
EU to fire starting gun on markets reform battle
Oct 17, 2011 Reuters Draft European Union securities reforms due on Thursday will fire the starting gun on a long battle over where to draw the line between curbs and competition in trading for banks, exchanges, and investors.
Oct 14, 2011 Traders Magazine Knight Capital Group has revamped technology used by its institutional customers to help them steer clear of high-frequency traders. Because some HFTs are looking to take advantage of the information inherent in large institutional orders, Knight has rejiggered the technology supporting its Knight Direct execution management system to avoid imparting too much information.
Maijoor Says Guidelines on High-Frequency Trading by Year-End
Oct 13, 2011 Bloomberg Steven Maijoor, chairman of the European Securities and Markets Authority, said the regulator will complete guidelines on high-frequency trading by the end of the year.
Global watchdogs to discuss ultra fast trading rules
Oct 13, 2011 Reuters Regulators from across the world meet in London on Friday to better coordinate supervision of ultra fast computerized trading after concerns raised by last years flash crash on Wall Street.
Hedge Funds Leveraging Colocation to Take on Larger Firms October 10, 2011 Advanced Trading In today's market, hedge funds are aggressively taking advantage of colocation services to take on larger investment firms and other high frequency players. And as anyone in real estate knows, location matters.
Europe s Financial Tax Would Have Dramatic Impact, Banker Says
Oct 7, 2011 Bloomberg The European Commissions proposed financial-transaction tax, which imposes a levy on stock, bond and derivative trading, would push business out of Europe and hurt its economic recovery, the head of the Nordic regions biggest bank said today.
With High-Speed Trading, the Market Cannot Hold: Mark Buchanan
Oct 5, 2011 Bloomberg Last year, when the U.S. Securities and Exchange Commission came out with its final report on the flash crash, the stomach-churning event of May 6, 2010, that wiped $1 trillion of value from the markets in less than 30 minutes, it never managed to explain why the episode happened.
Paper Points to Rise of Odd Lots
Oct 3, 2011 Traders Magazine Odd lots--which are not reported to the consolidated tape--have grown as a percentage of shares traded in recent years, and could now make up as much as 20 percent of market volume. That's according to a recent paper by Cornell University's Professor Maureen O'Hara, together with Chen Yao and Mao Ye of the University of Illinois.
Buyside Still Worried About HFTs
Oct 3, 2011 Traders Magazine Guest columnists explain how a U.K. report can be read as a call for stronger action to deal with the poorly understood risks of this trading in the U.S. In particular, the paper could be read to support additional action by the SEC, CFTC and other U.S. financial market regulators in the future.
INSIGHT-US brokers point fingers over 'naked access' rule
Oct 2, 2011 Reuters Broker-dealers are taking very different approaches to a rule that requires them to scrutinize customers credit positions and block reckless orders before trades are executed, setting off finger-pointing and new challenges for regulators.
Early model traders were designed with hardware of limited bandwidth (but phenomenal style). Here we see them attempt to utilize a high speed, low latency data feed, circa 1899.
Copyright 2016 by Brian W. Leite. All rights reserved. Reproduction of all or part of this dictionary without explicit permission is prohibited..