Hi Scott,

Thanks for taking the time to respond and to add your contribution to the discussion. You asked me separately via Twitter what is my source for this story. The woman that chaired the investigation for Congress and the CFTC into the "flash crash" who delivered the details of the report. Then she delivered what she believed actually happened, because it was her opinion that the politicized report diminished and obscured the actual effects of HFTs on the events. As a part of her presentation she had exact trade-level data with the millisecond timing of trades, including bids and asks, and she very aptly demonstrated the effects of HFT during the "flash crash." Separately, during the same presentation she examined many other market anomalies taking place on a daily basis that can only be explained by people abusing trading networks through some of the abusive tactics I describe in this post.

This presentation was delivered at the Financial Analysts Seminar and in the audience were those that used to serve on the NYSE who were expert at understanding trading tactics designed to extract basis points here and there for gain, again through the tactics described here. Last, the FAS is Socratic format and in the audience were several ethical HFT firms themselves who also monitor market activity because they believe that bad apples can spoil the barrel for everyone.

What is the source of your skepticism?

Yours, in service,

Jason