I have a very very busy day, so I’ll be brief.
I was reading Felix Salmon’s latest article for his Reuters blog, and something was weird. A the beginning of the paper, Salmon talks about another article I missed, by Rob Curran for Fortune. Curran writes : “Terrence Hendershott, a professor at the Haas business school at the University of California at Berkeley, wanted to find out. He was recently given access to high-speed trading technology by tech firm Redline Trading Solutions.” I have read a lot of Hendershott’s papers, so I knew that the study reported by Curran was published on July 8, 2013, in a paper called “How Slow is the NBBO? A Comparison with Direct Exchange Feeds”. I was surprised because the title of the paper was not mentioned by Curran, nor the link to the Berkeley website where I got the file as soon as it was published online (Salmon seems surprised too: “This study is never named, or quoted, or linked to, and I can’t find it on Hendershott’s web page,”).
A usual, as soon as an interesting paper is published, I print it (I am an old school guy). So I printed the paper around July 20, but I did not read it immediately. I read it just after Nasdaq turned Nasdark on Friday 23 August (because the SIP and NBBO was involved in the outage, I thought that some issues could be discussed in the paper). On that day the paper was still on the Berkeley website because I shorted the link through bit.ly in order to send this tweet to some guys (don’t know if they read it):
When I read Curran’s article, I tried to access the PDF file on the Berkeley website… but the file was gone. So, the paper has vanished between August 23 and August 30. My first question was: why? Is it because the paper is quoted in Curran’s article? Is it because of the sensational title “Make $377,000 trading Apple in one day”? Is it because the Nasdaq went dark–so discussions about the NBBO were banned?
Anyway, its seems that these days if you want to get an academic paper, you have to act like a high frequency trader: find it before cancellation! So, here is the HowSlowIsTheNBBO PDF file. I don’t really have the time to discuss about it, the three writers had access (through Redline Trading) to the data feed of BZX & BZY exchanges by co-locating a computer in Weehawken. Sometimes the paper states the obvious, sometimes other facts are interesting. Perhaps Felix Salmon could find answers to the questions he asked, and perhaps other #hft addicts may find arguments.
PS : Terrence Hendershott will talk here today (an academic event about hft far better than the TradeTech things), but “it will not be broadcast”, unlike other talks–in order to spare sensitive questions? Andrei Kirilenko made a talk yesterday, but was not very convincing.