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Credit Suisse's Dan Mathisson Doesn't Use Flashed Orders Except When He Does
A new article by Traders Magazine goes on to describe in exquisite detail how brokerages apparently have not only never used Flashed orders, but run like the plague any time the topic is even breached.
Quote Greg Tusar, head of U.S. electronic transaction at GSEC:
"We don't use them in the execution of client orders," Tusar said. "But
we believe it should be a matter of choice--that clients should have
access to them if they choose to. They should be available on an opt-in
basis, client by client."
Greg, while we have your attention, can you also elaborate on this little disclosure taken directly from your March 31, 2008 Street Smart Research Piece:
Not to make a fine point out of it, but isn't it a little presumptuous to say you don't Flash when your entire Sigma X Dark Pool is based on Flashing (granted Goldman is the only beneficiary of the Flashed order data)? If we are not understanding this correctly, please feel free to enlighten us on how we may have misunderstood this: SigmaX@zerohedge.com
Other professionals who chime in include none other than Jatin Suryawanshi, head of global quant strategies at Jefferies & Company:
"Flash orders have the potential to cause information leakage. It's information that was not available on a data feed
that's now available on a data feed." He added that the use of flash
orders, if it's not done purposefully to aggressively take liquidity,
may fly in the face of a broker's best-execution duties.
Well, at least one insider is happy to acknowledge the potential abuse of Flash. Uhm, why did it take all you guys years before coming forward with this knowledge? Does some blog have to disclose all your dirty laundry before you admit that a vast majority of your business models are based on "information leakage?" But then again Jatin's honesty may be attributed to his recent distraction, stemming from the escalating lawsuit with UBS alleging serious quant espionage (NY Civil Supreme, 600909/2009). And here we were thinking that only Sergey Aleynikov is in trouble.
Which bring us to Dan Mathisson, head of Advanced Execution Services at Credit Suisse.
"We don't flash," said Dan Mathisson, head of the Advanced Execution
Services group at Credit Suisse. "The whole reason we exist is to try
to execute [institutional orders] while leaking the smallest possible
amount of information. Flashing orders is not consistent with that
overall strategy." Credit Suisse said it does not send routable orders
from its AES unit to market centers, and therefore doesn't use flash
orders.
Yet a little further down, Dan provides this useful clarification:
At the same time, while many brokers don't flash orders, they do feed
flash message information into their smart order routers to improve
executions for their institutional customers. Mathisson of Credit
Suisse said his firm's smart order router reads the flash orders on
Nasdaq's and BATS's proprietary feeds. "That feeds into our heat maps,"
he said. "We may not directly respond to flashed orders, but for the
allotted time, which is some milliseconds, that destination would be
heavily weighted [if we have an order on the opposite side of the
flashed order]."
So, Dan, just what happens if you have an order on the opposite side of the flashed order in the allotted time? Do you happen to... retract it? Do you happen to... cancel the order if you notice you are headed against substantial order flow in the allotted 30 millisecond. Pardon my abuse of semantics, but doesn't this statement flagrantly violate your bold claim of "We don't use flash." Let's see if I am getting this right - aiding and abetting information leakage is bad, but if someone else is Flashing (for which you are not at fault, presumably, it is really just evil Direct Edge [or, gasp, SIGMA X, assuming they ever route anything away from Goldman's prying prop hands] who should burn in hell here), you are more than happy to get access to the data and reroute order flow appropriately. Once again, I welcome your rebuttal of my weak attempts at reasoning at SigmaX@zerohedge.com (I am sorry Dan, but you will have to reroute your email packet with all the inbound Sigma X email traffic - I promise not to flash too much of it to the public markets).
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Classic
Funny how the same cast of characters keep posting again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again and again with pointless babble.
I wonder if ZH has a separate cast of characters employed to leave such thought provoking replies.
Were is the original Tyler Durden crew, the ones who were here back in Feb/March?? This Tyler Durden crew needs to change shifts....
thx.
People still use that "but I didn't inhale" excuse?
Beautiful
haha
"We don't flash" said Dan. "We keep our trenchcoats open all day for you to observe our greatness."
Snort! Dammit! You owe me a screen wipe!
I promise I'll pull out.
I think you nailed it ;)
Actually I'm nailing at least a 1000 times a second Bro !
Ever notice how some folks will stick with a construct long after it has fizzled...
Damn you Tyler Durden,
You're only supposed to listen to the melody of this song not the lyrics you idiot.
OMG You're so exasperating!!! If you don't shut up this band will never get another gig and all our fans will hate you.
Let's hear it Dan, we are waiting. How about giving it to us straight and cutting out the bullshit. When are you guys going to learn that upfront honesty and forthrightness with customers will pay off in the long term?
atta-boy...right over the bow...whoops, oh shit...you accidently put the warning shot into the deck. can't this be construed as insider trading?
Insider Turding ?
To Dan from Credit Suisse
" When argumentation of a problem becomes more complex, than its solution, the only valid conclusion to such structuration is that a) conclusion is trivial in truth b) arguments are only used in such high complexity to hide the hypothetical nature of the conclusion, and that process sums the whole problem into one single point; speculation"
Gottlob Frege
now ask yourself, what do you, Dan, think it is the case here ...
LOL - I could not be the father. No way! Impossible.
This market is so fucked up. Is somebody using Goldman's secret code to take the market up and up
just short the market
the machines will be catching each other on the way down as twice as fast as it is on the way up.
Yes, and that someone goes by the name of "Goldman"
I dont think world wide indeces charts look like a healthy rebound... Its more like a rebound on testosterone. Faster than ever, and a lot of Banks are seemingly profiting from that. I think they are trading each other ever higher with their algorithms. Think about how much market capital they are raising...
The CME ought be allowed to set up their own prop-shop and trade on the order flow their receive to "Olympic Pool", it'd only be fair.
Banks make most of their money from Fixed Income trading - not this irrelevant little business known as HFT.
I long for the days of Gordon Gekko and his unsophisticated ways of front running the market.
Trade the market using the % stocks above their 50 day SMA http://thetickerstreet.blogspot.com/2009/08/there-is-always-bear-market....
Anyone who trades the 4Q's should know flash has been going on for YEARS in that. Nothing like seeing 14,558 shares at $40 ask, you put in a buy at ask, and as soon as you hit that buy button those shares mysteriously disappear, WITHOUT A SINGLE SHARE EXECUTED AT THAT PRICE and then the ask moves up a penny to 40.01 without you getting a fill. (hypothetical, yet has happened many, many, many times). They say that flash adds liquidity? NOT in that instance.
Tyler -- do you know how flash orders work? I suspect you dont and so you fear what you dont understand. Or you are playing up others fears to further your career.
the address for complaints is sigmax@zerohedge.com
Also did u know that Flash orders are sometimes called BOLT or FAK or FOK? Maybe u should read up on something before u write about it?
u is not a word
All GS employees know what flash orders are.... The GS disinformation unit pretends that they only slightly understand most concepts. But they really do understand.
light content today
indicator the recession has ended? ;-)
I think it indicates that this team of Tyler Durden clones are dispassionate about what they do.
Bring back the original crew. Lose the losers.
HFT, 'dark pools' and other fucks to be investigated in UK
http://www.bloomberg.com/apps/news?pid=20601087&sid=akPJpRuAm070
Guys, retail is getting bullish:
www.debtsofanation.blogspot.com
Tyler,
I'm 99% sure you are misreading his statement. When Dan says that CS "doesn't flash", he means that they don't submit flash orders. In your second quote, "We may not directly respond to flashed orders, but for the allotted time, which is some milliseconds, that destination would be heavily weighted [if we have an order on the opposite side of the flashed order]," what he means is that if CS has a SMART order on the opposite side (e.g. flash order was buy, and CS wants to sell), then they will likely route that order to the exchange on which the flash order was sent.
That is completely logical, is not nefarious at all, and is in no way contradictory with his first statement.
You seem to be confusing "doesn't use flash orders" with "doesn't listen to flash orders". You are also misunderstanding how they use flash orders.
Disappointing to see you railing on something that you really don't understand.
That UBS lawsuit is quite interesting reading. Thanks for that link. I didn't know algorithmic trading was "trading pursuant to a particular investment strategy". ummm, that would be a 44 millisecond investment of course.
I wonder what's in that attachment that was downloaded from UBS Algorithmic Trading Group that's called "OptimalLiquidation.zip".
I don't use rohipnol -- except when im using it to date rape some girl.... lol
yeah yeah but like i dont actually take it myself ! makes me real drowsy..