

Plundered by Harpies: An Early History of High-Speed Trading [pdf] - minimax
http://www.moaf.org/publications-collections/financial-history-magazine/111/_res/id=sa_File1/Plundered_by_Harpies.pdf

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petercoolz
Loved the history. Don't imagine that traders will ever stop trying to get an
advantage. I find it fascinating that even the postmaster thought an
informational edge was unfair. Important to remember that those with a speed
edge, even today, end up quickly converging the markets, and eliminating their
own opportunity away.

Also there is a clear distinction between a speed edge and outright illegal
acts. Cutting telegraph wires reminds me of modern day equivalents... ie.
Enron calling generation plant operators to shut down.

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bostik
> _Receiving information first was so valuable that some speculators, at times
> in cahoots with telegraph operators, were willing to cut the telegraph wire
> after the news had been received!_

How nice to learn that scorching the earth, and destroying [anything of] value
to create wealth has such a well-established pedigree and history.

One interesting idea from the the "Flash Boys" discussion comes to mind. What
would happen if trade executions happened _ONLY_ in timed batches? When the
exchange first opens for the day, pull a random number from RNG that provides
values from a power distribution. The number will be the delay until the next
execution time. Queue executions, and at the given time process them with the
standard best-price execution algorithm. (Yes, some of the queued executions
would be voided because the stocks on offer had been matched already at a
lower price.) Then pull the next random execution delay. Rinse and repeat
until stock exchange closes for the day.

I'd love to see how that would affect the HFT front-runners.

(Disclosure: I work for a betting exchange. I have a decent understanding how
trading exchanges operate under the hood.)

~~~
minimax
One nice thing about the U.S. equities market is that there's nothing stopping
you from creating your own ATS that matches that way as long as it doesn't
trade through better prices available at the exchanges.

