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1、3WebofChaosJoeSaluzziwasaguestonCNBC’s“StreetSigns”segmentwithBrianSullivanandHerbGreenberg.ItwastheafternoonofOctober10,2011.Thediscussioncenteredonthevolatilitycausedbyhighfre-quencytradersandconfidenceinourstockmarketstructure.“Ninetybillionhascomeoutofdomesticequityfundssince
2、May,”Joesaid.“Ittellsyoutheconfidenceisnotthere....Themarketsarebroken.”Greenbergagreed.Thenextdaytheveteranbusinessjournal-istpennedascathingarticleonthecablechannel’swebsite,titled,“YesVirginia,theMarketsAreBroken.”Joewasright,hewrote.“AndI’lltakeitonestepfurther:Untilfurtherno
3、tice,investingtheold-fashionedwayisdead—maybeforever.Yes,maybethistimeitreallyISdifferent.”1Wefirststartednoticingin2007justhowbadlyourmarketsarebroken.Itstungwhenoneofourbestcustomerscriticizedourtrad-ingabilities.Althoughwehadbecomeaccustomedtopenny-jumping,automatedscalperssin
4、cethemid-1990s,somethinghadchanged.Withthemereentryofsmall,300-sharelimitorders,webegantonoticeincreased“wiggle”intheformofthefollowing:•Morequote-flickering:Whenwesenttotakestockofferedonanexchange,theofferwouldmysteriouslyriseordisappearjustaswearrived.•Morepenny-jumping:Eachti
5、mewewouldbuyorsellstock,itseemedthatothersweretippedofftoourintentionsinrealtime.4546BrokenMarkets•Moreimpactonprices:Evensmallpurchaseswouldcausestockpricemovementawayfromusinwaysmuchmorenotice-ablethanwehadeverseenbeforeinourcareers.Asagencystockbrokerswithafiduciarydutytogetou
6、rclientsthebestprices,wehadtogettothebottomofit.Westarteddiggingintothe“plumbing”—howourordersareactuallysenttoexchangesandhowtheexchangeswork.Welookedatallthedifferentordertypes,manyofwhichwerefarcriesfromthosetraditionallyusedbyagencybrokers.Welookedattheinformationbeingdissemi
7、natedonthestockexchanges’proprietarydatafeedsandwhowasreceivingthem.Wehadalwaysassumedthatdatafeedswerefairlysimpleandincludedroutineinformationsuchasquantity,price,time,andtheexchangeinwhicheachtradetookplace.Theenrichedfeeds,however,hadmuchmorethanthat:informationaboutourorders
8、thatwethoughtwashidden,aswellasnuancesth
