This is awesome. There is no other way to describe this academic study, which will make you (as investors) sing, dance, and rejoice when it rains. For a decade we have argued that with regard to speed, our modern markets have “jumped the shark.” While proponents of Modern Markets have argued that speed has improved liquidity and tightened spreads, we have argued the opposite. First, spreads have not meaningfully narrowed in a decade, and in fact have widened some. Second, there is a big difference between liquidity and volume. Anywho… researchers from Canada’s Wilfrid Laurier University, drawing on some (more…)

  Our note to you from this past Friday detailed how the NASDAQ Post Only order type has been leaking information for seven years, and NASDAQ is only now proposing to change how it works. Essentially, sophisticated traders are able to enter a Post Only order, and if such an order would execute against a contraside hidden order, it would get repriced up or down a tick.  This repricing notifies the sophisticated trader about the existence of hidden order interest.  The sophisticated trader is alerted on NASDAQ’s private data feed that their order has been repriced (and that there is (more…)