[001sky]

Anything that starts after "buy/sell" electrons are entered into a book [#] and includes a pricing mark change before "fill" hit my account. This set of trades is broader than what you might imaging, but specifically I'm interested in any trade that (1) has information incorporation; and (2) dependent logic based on (1) and (3) requires sequential execution (ie, fronting). It is not enough to say these trades are not observed. They have to be shown to be impossible (or unprofitable). There is reasonable evidence that they are both possible and profitable in Lewis's book.

# This includes both voluntary and involuntary disclosure.

[harryh]

OK, well I haven't read the book (only the NYT excerpt so far) but I am highly skeptical that such trades are happening. I will read the book though, and reserve judgement until then.