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1、7It’stheData,StupidOnacoldFebruarymorningin2010,wereceivedashortemailthatwouldshakeuptheHFTindustryandquestionthecredibilityofsomemajorexchanges.Theemail,whichcameinfromanaccountthatwedidn’tknow,saidsimply,“Checkoutthedatafeeds.Informa-tiononhiddenordersisbeingleaked.”Beingdeeplyinv
2、olvedintheHFTdebate,wehadbegunreceiv-ingquiteafewemailsfromthepublic.Manyencouragedsupportofourstance.Otherswerecriticalandquestionedourmotives.Occa-sionally,wewouldreceivetipsonhowtofindhowHFTsweregettinganofficialedgeoverretailandinstitutionalinvestors.Wealwaysrespondtoeveryemaila
3、ndfollowupanyclues.Thisemailwasabitdifferent,though.Itwasshortandtothepoint.Tous,itwasobviousthattheemailcamefromsomeonewhoreallydidknowsomethingbutdidnotwanttorevealhisorheridentity.WewerefamiliarwiththestockexchangeprivatedatafeedsandtheinformationthattheyprovidedtoHFTclients.Byea
4、rly2010,wehadbeenanalyzingthefeedsforsometimeandbelievedthattheycontainedthekindofdatathatfueledtheHFTengine.Iftrue,thetipthatwereceivedcouldbeextremelydamagingtoanyclientthatwasusingahiddenordertype.Ahiddenorderisplacedonanexchangeordarkpool,butitisnotpubliclyvisibleinthequote.Inve
5、storswhousethistypeoforderarewillingtogiveuptheirplaceinthetime/priceprioritysequencetobemorediscreetabouttheir111112BrokenMarketsorder.HiddenordersareoftenusedbylargeinstitutionalinvestorswhoaretryingtocloakthemselvestonotgetspottedbytheHFTs.Iftheexchangeswereprovidinginformationon
6、hiddenorderstoHFTs,thentheexchangeswereviolatingasacredtrustwiththeirclients.WeimmediatelydownloadedthespecificationsoftheNASDAQTotalView-ITCHfeedfromtheNASDAQwebsite.AsmentionedinChapter6,“TheArmsMerchants,”theITCHfeedwascreatedbytheIslandECNandsubsequentlycopiedbyalmosteveryexchan
7、ge,ECN,andATSasthebasisfortheirdatafeeds.TheITCHfeeddis-seminatedenhancedinformationaboutordersandtradesfromanexchangetoclientswhosubscribedtothefeed.TheinformationcontainedinITCHwasalotmorethanjustwhenatradeorquotehappened.Itcontainedinformationoncancellations,modifications,andexec
8、utions.Anditcontain
