[kasey_junk]

Or I guess we could do it the other way. No you are wrong. That is not possible on any exchange that I know of.

Luckily there is an easy way for you to prove your contention. The market data feed and order management specifications for all of the exchanges in the US are available as public information. Find a single one that allows that order of operations.

Until then maybe don't spread lies.

[shiven]

Wait what? I thought there were two feeds. One for the paid subscribers in near real-time and a purposefully delayed feed for the rest of us.

In order to prove what you are asking for would need full access to the realtime feed AND corresponding time-resolved data from multiple brokers where a buy call gets intercepted.

Where is the lie in what the GP wrote? A quick Google search supports what he wrote, eg. the RBC story.

[kasey_junk]

Depending on the exchange there can be many feeds that are price differentiated by feature set (including speed requirements). There are no non-paid feeds, if you are getting market data it is being paid for by someone.

In particular though, most exchanges follow a pattern where market data is broadcast (usually udp) and order management is bidirectional unicast (usually tcp/ip). On the order management side, no one sees your order until after the exchange does. The exchange then executes the order (filling it if there is match on the other side, or adding it to the order book). It then propagates down the market feed side the outcome of that order. Only then do other participants see it, regardless of how fast they are. There is no opportunity for the fast operator to get in front of the order as the GP describes.

You can verify this easily for any exchange you like (at least SEC regulated ones in the US) by reading the technical specifications of the electronic trading platform.

I don't know what google search or RBC story you are talking about, but in Flash Boys for instance, they make pains to imply that HFT are front running orders as the GP describes but they never say it outright. Because they know it can't happen. A good rebuttal to Flash Boys is Flash Boys, Not So Fast.

[DickingAround]

A very interesting rebuttal to "Flash Boys, Not So Fast" is the many factual errors as pointed out in the top 1-star Amazon review of that book: http://www.amazon.com/Flash-Boys-Insiders-Perspective-High-F...

[tptacek]

I'll credit you for indeed finding something "interesting", but there's a telling comparison to be made between the criticisms in this Amazon review and the criticisms made in Kovac's book.

The Amazon review is based on the premise that Kovac doesn't know what he's talking about at all (that's a tough sell, since Kovac runs a trading firm), and builds that argument through fuzzy error claims like "Kovac got the number of trading venues at a particular date wrong" (the whole value of Kovac's prop firm was that it traded in zillions of markets) or "Computerization was less impactful in bringing down spreads than decimalization".

Kovac's book, on the other hand, is hundreds of pages of page-by-page technical criticism of the Lewis book.

This reviewer was supplied by Kovac with a mountain of rebuttable claims. What they came up with was "Academic and industry researchers have certainly found compelling evidence of high frequency trading firms front-running demand". But "front-running demand" isn't a technical term; it's an advocacy label coined by people who oppose algorithmic trading!

When your mic-drop closing criticism, the one you expand upon in your "updated" critique, is a tautological restatement of the position you're advocating for, you're doing something other than technical criticism. Which is fine, but let's be clear about it.

[sjg007]

It's front run between exchanges or from dark pools.

Also the RBC story is the central story of Flash Boys.

[evanpw]

The different feeds are irrelevant in this case, because no exchange sends (to any feed) information about: a) incoming immediately-executable orders, or b) unexecuted portions of an order which will be routed to another destination. The first anyone will hear about an incoming order is when it executes, and the first they'll hear about the routed portion is when it executes somewhere else.