What really happened with BATS execution?

[wilburbear]

Now the BATS website is down.

You know the powers that be are pissed off at an exchange that started in a strip mall in Kansas. They had much lower costs and greater efficiencies. They killed margins in equity trading on Wall Street.

Trading professionals have to drill down very deeply into the micro-structure of the market they trade. A BATS-enemy probably found a weakness and exploited it.

But who could pull this off? Any firm that could do this, ran it through their lawyers.

Or do you think, a firm with the expertise (and incentive) to hurt BATS left themselves wide open to be punished in some facet of this incident? No way.

In the end, it's gonna be one of those unsatisfying stalemates we see very often, lately. There won't be bright lines drawn around the exact players involved and their motives. And the SEC will let everyone off the hook without admitting or denying guilt.

 

[Options12]

Quote from wilburbear:

Now the BATS website is down.

Could be a repeat of the February DDoS:

http://www.securitynewsdaily.com/1521-hackers-nasdaq-bats.html

 

[Landis82]

Quote from ronin266:

Thanks.

Let the antiHFT wars begins.

Looks that BATS knew that something like this was possible and let it happen to reveal to the crowds what´s happening there, and get some support during the next IPO.

You are out of your mind.
The last thing that they wanted was to have to CXL their IPO and come back to the market place a second time . . . and (most likely) at a much lower offering price.

 

[syswizard]

Quote from Options12:

syswizard, what (if any) is the ISO role in these cases?

I don't think there are any standards related to this type of software. I mean anyone could write a order-matching engine.

In the case of BATS, someone knew there was no circuit breaker logic. I wonder who put out the word ? Some underpaid programmer ?

 

[Rationalize]

Quote from syswizard:

I don't think there are any standards related to this type of software. I mean anyone could write a order-matching engine.

In the case of BATS, someone knew there was no circuit breaker logic. I wonder who put out the word ? Some underpaid programmer ?

I think you're overestimating the complexity, and adding too much conspiracy.

Route to somewhere less liquid, and it takes less volume to have more impact.

 

[syswizard]

Quote from Rationalize:


Route to somewhere less liquid, and it takes less volume to have more impact.

Yes but liquidity is a huge factor and should have been taken into consideration by the software. I mean if the algos are offering at 10x the bid size at 1 tick under the last print, you've got to reroute or freeze those orders, right ? Otherwise, the bid drops, and then the algos cancel and replace at the next lower offer, and this continues until the bid is zero.
That's how it likely happened in this case. Now if the exchanges started to charge for cancel and replace orders, that would thwart this behavior as well.
And so it's happening:
http://www.tradersmagazine.com/news/nasdaq-charge-heavy-quoters-109872-1.html

 

[Rationalize]

Quote from syswizard:

Yes but liquidity is a huge factor and should have been taken into consideration by the software. I mean if the algos are offering at 10x the bid size at 1 tick under the last print, you've got to reroute or freeze those orders, right ? Otherwise, the bid drops, and then the algos cancel and replace at the next lower offer, and this continues until the bid is zero.
That's how it likely happened in this case. Now if the exchanges started to charge for cancel and replace orders, that would thwart this behavior as well.
And so it's happening:
http://www.tradersmagazine.com/news/nasdaq-charge-heavy-quoters-109872-1.html

If there's a gap in the book, then sell through what's above it, to buy back below it.

This is not fkn rocket science ...

 

[Options12]

Quote from Rationalize:

I think you're overestimating the complexity, and adding too much conspiracy.

Route to somewhere less liquid, and it takes less volume to have more impact.

Rationalize, do you think Nanex is correct in their analysis here:

So the use of an ISO order is not only inappropriate, but highly suspect. We have seen ISO orders abused like this before, such as the seemingly intentional halt in CSCO back on July 29, 2010 when AMEX first started trading Nasdaq listed stocks.

http://www.nanex.net/aqck/2970.html

 

[Rationalize]

Quote from Options12:

Rationalize, do you think Nanex is correct in their analysis here:

So the use of an ISO order is not only inappropriate, but highly suspect. We have seen ISO orders abused like this before, such as the seemingly intentional halt in CSCO back on July 29, 2010 when AMEX first started trading Nasdaq listed stocks.

http://www.nanex.net/aqck/2970.html

I don't follow their analysis.

If I send an ISO, I want to consume liquidly from all markets irrespective of best price. No fancy routing algos involved.

Nanex is saying the only liquidity was on BATS.

So any order would have arrived at BATS anyway.

 

[ronin266]

Quote from Landis82:

You are out of your mind.
The last thing that they wanted was to have to CXL their IPO and come back to the market place a second time . . . and (most likely) at a much lower offering price.

Time will show the truth wathever it is. I just give one variable.
Doubt that the price will be much lower.