In Trader’s Magazine, there is a meaty article on NASDAQ. See here :
http://www.tradersmagazine.com/issues/20_302/nasdaq-omx-stock-exchange-options-market-robert-greifeld-104931-1.html
Some key takeaways from that article:
-Nasdaq’s fight to hang onto its share of the pie this year forced it to take its pricing model into the red. Inverted pricing. Loss-leader strategy to stem the slide.
- The upshot is that domestic equities is now [...]

Sometimes when you are too close to a subject and when the only people that you talk to are all in agreement, then a knowledge bubble is formed.  You can’t see how you could be wrong and anybody who questions you must not be well informed.
The HFT community believes that they add liquidity and create efficient [...]

The Chicago Fed is concerned; see pdf link here:
http://www.chicagofed.org/digital_assets/publications/chicago_fed_letter/2010/cflmarch2010_272.pdf
They conclude:
1) Potential exists to generate errors and losses at speeds far greater than floor or screen base trading environments.
2) Risk management tools and regulatory oversight vary between exchanges, brokers, clearing members, and non-clearing members.
3)Their robustness to withstand loss from HFT is uncertain.
We at Themis are pleased [...]

says, Sergei Tchetvertnykh, pointing at a flashing spreadsheet on his desktop’s screen. Keep reading here:
http://www.theglobeandmail.com/report-on-business/rob-magazine/theres-millions-in-those-milliseconds/article1443505/

Infinium executes between 500,000 and 1,000,000 trades each day. It is the largest trader on the TSX.
Anyway… some highlights:
1) “the danger is that nobody really seems to think of themselves as owners. How can management be accountable to investors [...]

We decided to poll a number of institutional traders and ask them what they thought of the idea of quoting stocks in sub-pennies.  The responders were unanimous and were all strongly  against the idea.  Below are a few of their comments:
“I disagree with the idea of sub-penny pricing.”
“It’s not just the HFT’s who will be playing [...]

Exchange officials are lobbying hard for sub-penny quoting. They say it is because their institutions and hedge funds have been asking for this ability. I doubt that. My customers have not been demanding 1/10th of a penny pricing. Have you been?
I think that this is more of the exchanges courting High Frequency interests, at [...]

http://nihoncassandra.blogspot.com/2009/01/in-defense-of-case-against-hifters.html
A friend send me the above link, which I copy below. I admire the author’s cool, level-headed reasoning and presentation of his/her viewpoint. I hope you enjoy it.
In Defense of The Case Against HiFTers
In principal, I am reticent to contradict Burton Malkiel because I respect him, large, but I feel that I must [...]

Section III : Trading Thin Issues
Situation: You are responsible, either as an agency broker or as a buyside trader, to execute a buy order, monster block of 2,500 shares,  in APU, Amerigas Partners. The date is January 14th, 2010. What can you expect to happen should you send 2,500 shares to buy at the market [...]

This is a video of Manjo Narang, CEO of Tradeworx, discussing HFT and what these systems mean in the market today. It is educational. It is frank. He does  say that HFT has an outsized impact on financial markets, which is why we have been so persistent in trying to have everyone be more aware [...]

Emails are making the rounds today that highlight what the likely Washington response will be regarding Dark Pools and Short Sale Rule changes. In the past I feel we have made our views on Dark Pools known, specifically the difference between those that add value and those that do not, and the importance for size [...]

RMBS drops in minutes from $24 to $16 and back up to $23. The word is the move is the result of a “fat finger”.
This illustrates, however, how market structure has changed the velocity in today’s equity markets. “Stop loss” market orders are dangerous in today’s world. Don’t let anyone fool you into thinking that [...]

See this: http://www.reuters.com/article/idUSTRE5BK2U720091221
Bloomberg TV touched on this earlier this morning.  Fearful of new regulation, High Frequency Trading Firms are looking to spread their dollars around in Washington to protect their profits. You may remember a story in August that had one large Chicago firm boasting of $1 billion in profits by itself in 2008. You [...]