Themis Trading Blog

Good Data Bad Data Part II – CFTC

26

Mar, 2014

smokingsal

Yesterday our note to you discussed the challenges the SEC faces in collecting the right data, so that they can understand our equity markets and assess their quality. We stressed the importance of data down to the user level. This type of data is most important, because with such data we can really understand and properly identify “HFT”, as opposed to lumping in so many trading styles into the same bucket. This type of data is crucial to the work of researchers, be they within the SEC or in…
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Good Data Bad Data Part I

25

Mar, 2014

goodbaddata

 

Today and tomorrow, our notes to you want to touch on the topic of Regulator Data.

Today we address the challenges the SEC is facing with data they are collecting about our markets, even as they use Tradeworx’s (Manoj Narang) MIDAS System.

The SEC late last week released some new information on their market structure website, including part two of their review of literature on high frequency trading.  Before they get to the review of the academic literature, the SEC noted how difficult it is to isolate the effects of HFT since their data…
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