To je eden izmed razlogov, zakaj tako rad berem New York Times in zakaj mi ni škoda plačevati naročnine zanj. Ne samo, da ima NYT čudovit “book review”, pač pa mnogokrat povabi avtorja še vroče knjige, da objavi kratko adaptirano zgodbo na podlagi knjige. Ta teden je NYT objavil adaptirano zgodbo najnovejše knjige Michaela Lewisa “Flash Boys: A Wall Street Revolt” (Lewis je sicer avtor megauspešne knjige “Moneyball”). Lewis se je tokrat odločil razkrinkati ozadje visokofrekvenčnega trgovanja s finančnimi instrumenti, ki dominira v sodobnem borznem trgovanju na Wall Streetu, in razkril v čem je trik in velik nateg tega hudo donosnega posla. Le nekaj dni kasneje pa so mediji objavili, da je FBI uvedel preiskavo visokofrekvenčnega trgovanja.

V zadnjih 15 letih so glavni igralci na Wall Streetu vložili milijarde dolarjev v nakup super računalnikov in serverjev ter v plače matematikov in računalniških programerjev, ki so razvili algoritme za visokofrekvenčno trgovanje. Visokofrekvenčno pomeni trgovanje v delčku sekunde, natančneje v milisekundah. Matematični algoritmi omogočajo, da računalniki v intervalu nekaj milisekund poiščejo razliko med tečaji delnic in finančnih instrumentov na glavnih borzah ter služijo s hipnimi nakupi in prodajami, da izkoristijo razlike med tečaji. Kdor v zadnjem desetletju ni investiral v velikanske računalniške centre in matematične in računalniške genije, na Wall Streetu ni imel kaj početi.

No, Michael Lewis se je odločil pogledati, kaj je ozadju tega in zgodbo opisal skozi izkušnjo Brada Katsuyame, Roba Parka in Ronana Ryana. Naj omenim samo izkušnjo Brada Katsuyame. Katsuyama je delal kot borzni posrednik za kanadsko banko Royal Bank of Canada (RBC), sicer peto največjo severnoameriško banko, toda palčka iz vidika borznega trgovanja. Katsuyamo so leta 2002 šefi poslali iz Toronta, da na Wall Streetu vzpostavi lasten trgovalni oddelek. In Katsuyama je posel naredil več kot z odliko. Vendar ne zato, ker bi vzpostavil še bolj glomazen računalniški center in vložil še več stotin milijonov v plače matematičnih in računalniških genijev, pač pa zato, ker je razkril v čem je finta in veliki nateg visokofrekvenčnega trgovanja nekaj igralcev in kako to obrniti v svoj prid.

His troubles began at the end of 2006, after RBC paid $100 million for a U.S. electronic-trading firm called Carlin Financial. In what appeared to Katsuyama to be undue haste, his bosses back in Canada bought Carlin without knowing much about the company or even electronic trading. Now they would receive a crash course. Katsuyama found himself working side by side with a group of American traders who could not have been less suited to RBC’s culture. …

…

As it happened, at almost exactly the moment Carlin Financial entered Brad Katsuyama’s life, the U.S. stock market began to behave oddly. Before RBC acquired this supposed state-of-the-art electronic-trading firm, Katsuyama’s computers worked as he expected them to. Suddenly they didn’t. It used to be that when his trading screens showed 10,000 shares of Intel offered at $22 a share, it meant that he could buy 10,000 shares of Intel for $22 a share. He had only to push a button. By the spring of 2007, however, when he pushed the button to complete a trade, the offers would vanish. In his seven years as a trader, he had always been able to look at the screens on his desk and see the stock market. Now the market as it appeared on his screens was an illusion.

…

By June 2007 the problem had grown too big to ignore. At that point, he did what most people do when they don’t understand why their computers aren’t working the way they’re supposed to: He called tech support. Like tech-support personnel everywhere, their first assumption was that Katsuyama didn’t know what he was doing. ” ‘User error’ was the thing they’d throw at you,” he says. “They just thought of us traders as a bunch of dumb jocks.”

…

If that was the case, he asked them, why did the market in any given stock dry up only when he was trying to trade in it? To make his point, he asked the developers to stand behind him and watch while he traded. “I’d say: ‘Watch closely. I am about to buy 100,000 shares of AMD. I am willing to pay $15 a share. There are currently 100,000 shares of AMD being offered at $15 a share — 10,000 on BATS, 35,000 on the New York Stock Exchange, 30,000 on Nasdaq and 25,000 on Direct Edge.’ You could see it all on the screens. We’d all sit there and stare at the screen, and I’d have my finger over the Enter button. I’d count out loud to five. . . .

“ ‘One. . . .

“ ‘Two. . . . See, nothing’s happened.

“ ‘Three. . . . Offers are still there at 15. . . .

“ ‘Four. . . . Still no movement. . . .

“ ‘Five.’ Then I’d hit the Enter button, and — boom! — all hell would break loose. The offerings would all disappear, and the stock would pop higher.”

At which point he turned to the developers behind him and said: “You see, I’m the event. I am the news.”

…

To that, they had no response. Katsuyama suspected the culprit was Carlin’s setup. “As the market problem got worse,” he says, “I started to just assume my real problem was with how bad their technology was.”

But as he talked to Wall Street investors, he came to realize that they were dealing with the same problem. …

…

One morning, while taking a shower, Rob Park came up with another theory. He was picturing a bar chart he had seen that showed the time it took orders to travel from Brad Katsuyama’s trading desk in the World Financial Center to the various exchanges.

The increments of time involved were absurdly small: In theory, the fastest travel time, from Katsuyama’s desk in Manhattan to the BATS exchange in Weehawken, N.J., was about two milliseconds, and the slowest, from Katsuyama’s desk to the Nasdaq exchange in Carteret, N.J., was around four milliseconds. In practice, the times could vary much more than that, depending on network traffic, static and glitches in the equipment between any two points. It takes 100 milliseconds to blink quickly — it was hard to believe that a fraction of a blink of an eye could have any real market consequences. Allen Zhang, whom Katsuyama and Park viewed as their most talented programmer, wrote a program that built delays into the orders Katsuyama sent to exchanges that were faster to get to, so that they arrived at exactly the same time as they did at the exchanges that were slower to get to.

…

Katsuyama and his team did measure how much more cheaply they bought stock when they removed the ability of some other unknown trader to front-run them. For instance, they bought 10 million shares of Citigroup, then trading at roughly $4 per share, and saved $29,000 — or less than 0.1 percent of the total price. “That was the invisible tax,” Park says. It sounded small until you realized that the average daily volume in the U.S. stock market was $225 billion. The same tax rate applied to that sum came to nearly $160 million a day. “It was so insidious because you couldn’t see it,” Katsuyama says. “It happens on such a granular level that even if you tried to line it up and figure it out, you wouldn’t be able to do it. People are getting screwed because they can’t imagine a microsecond.”

Vir: New York Times