Our Futures, Hernan Avella

March 26, 2020 |

 Apropos of SPU coming back to some normalcy, there's a provocative twitter thread by Mr. Bodek, a well known participant turned whistle blower. Most of these factoids are self-evident to practitioners:

"I can confirm futures are more f*cked than equities including a semi-secret CME dealing desk, undisclosed and unnecessary liquidity incentive programs, abuse of malformed messages to test latency, stop loss signatures in the matching engine event loop, some priority race/condition scheme exploited between implied and spread order book, ridiculous levels of easily detectable spoofing that clearly triggers large opposing reserve orders in years of tick data, 1 lot pinging tied to 1000 lot posting, self trade check creating a pile-on between coordinated trading desks, and an extremely large spoofer who splices orders together at same price to avoid surveillance"

I still think equities are more f*cked than futures, at least the games are not being played in 10 different exchanges.





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