|
|
|
|
|
|
by hft_throwaway
4257 days ago
|
|
|
Matt Levine's Bloomberg article is a good layman's explanation of the issues: http://www.bloombergview.com/articles/2014-10-16/high-speed-... They were wrong and got punished, but the market would have punished them eventually anyway, and it sounds like it was already doing so. The SEC filing states that this scheme lost them $3mm on an index rebalance day when activity in the closing auction peaks. That should be a great opportunity for anyone intermediating between the continuous and auction books, so it is very surprising that they'd lose. Someone probably caught on that they were manipulating the close and waited for a big day to take advantage of them, or there was so much activity that they didn't have enough ammo to goose the price like on slower days. Also, to be clear, there is nothing illegal about HFTs intermediating between the continuous and auction books or the majority of HFT activity. These guys were charged because they committed fraud, the use of a computer was ancillary. |
|
|