Is the anecdote really unintentionally ridiculous? Lewis acknowledges SAC's later infamy in a parenthetical (quotation below). And the point of the anecdote is that even a party that went to great (and illegal) lengths to gain an informational edge didn't understand the new phenomenon of latency arbitrage by the HFTs.
Quotation: "He had a good friend who traded stocks at a big-time hedge fund in Greenwhich, Connecticut, called SAC Capital. SAC Capital was famous (AND SOON TO BE INFAMOUS) for being one step ahead of the U.S. stock market. If anyone was going to know something about the market that Brad didn't know, he figured, it would be them."
Of course it's ridiculous. The book makes no actual mention of what SAC did, to avoid cognitive dissonance. Perhaps SAC was infamous for dwarf tossing - not illegal but in poor taste. I don't think the 60 minutes audience would have SAC's transgressions on instant recall. Lewis declines to specify anywhere in the book that SAC was engaged in criminal violations of established securities laws, while he writes an entire book about the evils of HFT, which in large part is mostly an issue of what types of trading we want to permit and not widespread illegal activity.
And did Brad "figure" SAC would know because he knew that SAC pursued informational advantages to the extreme? Did he think that was unethical, crossed a line, so they would know about other activity that crossed the line? That seems like a really strange line of thinking.
It also seems strange that this super ethical guy would attack activity which is legal, but turn a blind eye towards known unethical or suspected illegal business. Did he know about the rumors of insider trading? Did he knowingly solicit business from a firm which he had reason to suspect was engaged in insider trading?
Quotation: "He had a good friend who traded stocks at a big-time hedge fund in Greenwhich, Connecticut, called SAC Capital. SAC Capital was famous (AND SOON TO BE INFAMOUS) for being one step ahead of the U.S. stock market. If anyone was going to know something about the market that Brad didn't know, he figured, it would be them."