September 21, 2015 |

 Jack Reacher, my favorite mystery thriller novel character, was a military investigator. One of his methods was to look for evidence that was missing, not just at what was in front of him.

Some years ago, I spoke to a programmer from a big Euro bank who was helping me with a project. I was describing what I wanted. One big problem he used to have was the irregular nature of trades. They don't necessarily happen in neat regular packages as the charts make it appear. Complete time and sales data available from the exchange at premium prices has 52 or more columns of information describing events. Most of this tends to get ignored to make analysis of data more tractable in real time by small computers and slow data streams.

The missing evidence would be the space between the trades. This would be calculated or deduced. This would give you speed as one piece of information. Sizes combined with speed would also give more information. But as far as I know this is missing.

I imagine some of the super high tech firms use this data in high speed trading and require super computers and co located data feeds. That would give them an advantage. Sorting through the data to pick out some of the lost info might give a smaller firm an advantage and still be tractable in real time using regular business computers.

In addition to speed, the additional data would give you density which is important to mass calculation and thus momentum. Other data would be historical time and sales to give a reading or evidence on the medium through which the market is moving under the theory that prior sales gives information of what orders might be there, who owns what.

There is more evidence available that may not be immediately apparent, but which is being used by some to their advantage, and that requires a high level of computational power and speed in comm. It is a race in fact. There is evidence there and it should be able to be deciphered.

"How to Catch a Spoofer"


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