Interesting reading. Poorly written, clearly some sort of marketing blather designed to appeal to a broad, non-technical audience and exhibiting typo's that suggest it was hastily prepared (despite its size and depth of research) but still interesting.
It seems to me the writer(s) are still unclear on root cause(s) of the anomalous price action for those few minutes. They use numerous emotionally charged descriptions, but never get to a bottom line. While their recommendations seem sound, they still lack a concrete foundation -- they don't really identify the problem and propose a solution -- they're proposing broad "there, fixed it for ya" changes that may or may not really address and resolve problems. I think their ideas are appealing, but without more specific proof that any given change would necessarily address the root cause(s) of the anomalies they've apparently discovered, such as how these measures (especially time stamps and time synchronization minimums) would be implemented and enforced. Much as I loathe HFT in its "dark" form -- and look forward to the inevitable removal of this parasitic infestation -- I don't see proof that these recommendations necessarily do anything to stop HFT in its worst forms. Personally -- and I'm not purporting to be any form of expert -- it seems to me that while these measures might provide forensic data after the event and might protract the same event, causing it to occur over, say ten times as long, it wouldn't stop another crash -- instead of the markets being in disarray for five or ten minutes, the prices would be "wrong" for perhaps an hour or two, giving time for humans to participate in the crash with more conviction and giving time for global markets to respond and participate. Beware of unintended consequences when applying "fixes" that have not been scientifically proven. On Fri, Jun 18, 2010 at 5:03 PM, Bob Jagow <[email protected]> wrote: > > > Well worth perusing > > > > *From:* [email protected] [mailto:[email protected]] *On > Behalf Of *Harold R. Lanier > *Sent:* Friday, June 18, 2010 2:38 PM > *To:* TAOTN > *Subject:* [ta-list] May 6th > > > > > > > The information on the attached website should give you some insight > into what happen/caused the May 6th "Flash Crash." > > http://www.nanex.net/20100506/FlashCrashAnalysis_Intro.html > > > > The recommendations: > > 1. Quote and trade data must be timestamped at the time it is > generated. This will ensure delays can be detected by everyone. > 2. Quote-stuffing should be treated as fraud, and banned. > 3. Add a simple 50 millisecond quote expiration rule: a quote must > remain active until it is executed upon, or 50ms elapses. If the quote is > part of the NBBO, it may be improved (higher bid or lower offer price) at > any time without waiting for the expiraton period. > > would significantly improve the market and should be pushed. If you have > the ear of a congressman, journalist or SEC official that might be able to > push these issues, I would encourage you to pass this information on to > them. Likewise it would be beneficial to post to other trade groups that > you belong to. > > > > Evidence shows that this is only the tip of the iceburg, more information > to come as research is completed. > > > > Harold R. Lanier > 251-650-4436 Fairhope > [email protected] > > > > > > -- Adam
