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VPRO/Backlight and The Wall Street Code

CalibratedConfidence's picture




 

I helped structure a new documentary for the folks at VPRO, the makers of Quants: Alchemists of Wall Street and Money & Speed: Inside The Black Box.  We were filmed in NYC for our small part with Haim Bodek and the Sang Lucci guys.  The documentary will air Novemeber 4th.  Today, VPRO released a teaser into the video with an interview with David Lauer discussing the Flash Crash from his perspective on that fateful day. 

With the complexity we have in our system, it's no wonder we do not have more crashes.  Lets recap a little bit on our UTP SIP information....

Unlisted Trading Privileges Securities Information Processor is better known as UTP SIP, which process all NASDAQ listed securities.  The “SIP” is made up of one network, known as Tape C, which brings UTP Quote Data Feed and UPT Trade Data Feed into a single source.  UTP isn’t a business, it is a right under the Securities Exchange Act of 1934 which permits securities listed on any national securities exchange to be traded by other such exchanges.  The 13 participants are:

  • BATS
  • CBOE
  • Chicago Stock Exchange
  • Direct Edge
  • FINRA
  • Int’l Securities Exchange
  • NASDAQ OMX BX
  • NASDAQ OMX PHLX
  • The NASDAQ Stock Market
  • National Stock Exchange
  • NYSE
  • NYSE MKT
  • NYSE ARCA

NASDAQ has updates on their site under FIF Message Traffic Rates for NASDAQ & UTP Data Feeds under UTP News at the bottom….not surprising; August peak message rate times are dominated by the 03:59 EST period for the UTP Quote Feed, usually HFT and ETF activity is responsible for such a consistent and regular time period of peak message traffic:

Given the amazing complexity under pinning every market particpants interaction with the matrix US Equity market, it's understanable how message formating and sharing problems can cause total havoc within an automated system.  I'll get more of this up soon enough but for the time being, if you wish to learn more please reference the OCT Montage PDF after the video at the bottom of this post.

***

Here's the preview to Wall Street Code...

 

OTC Montage Data Feeds by calibrateconfidence

 

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Wed, 10/16/2013 - 14:11 | 4061462 NaN
NaN's picture

The VPRO "Tax Free Tour" is also worth watching:

http://youtube.com/watch?v=d4o13isDdfY

Wed, 10/16/2013 - 13:23 | 4061196 Dr. Bonzo
Dr. Bonzo's picture

I don't have a problem with these guys trying mathematical mumbo jumbo to game markets. (1) BUT... it it's illegal... GET MOTHERFUCKING PROSECUTED... (2) WHEN YOU BLOW UP YOUR FUND... FU... GAME OVER... YOU broke it, YOU bought it pal. NO bailouts, NO handouts.... lose your job, lose your license, lose your house, lose it all, go drive a taxi or flip burgers like the rest of the shmucks. Don't even think about coming hat-in-hand to The Man yammering about Systemic Risk and all that shit.

F U.

FWIW... that "left" "right" stuff as applied to American political polity has no equivalent in Europe. For European sensibilities, basically conservative Republicans are a blend of Proteo Fascist and a Christian variant of a Muslim Fundamentalist. Democrats are on par with most European conservatives, and most European "leftists" parties would be considered extreme socialst or communist by American standards.

Addendum... and all that shit is old fucking hat. The new political paradigm isn't left or right anymore. It's Centralization versus Localization. If you can't grasp that, that's your problem.

 

 

 

 

Wed, 10/16/2013 - 10:49 | 4060402 Reptil
Reptil's picture

Looking forward to it. Bedankt! :-)

 

Wed, 10/16/2013 - 13:10 | 4061146 Sofa King Confused
Sofa King Confused's picture

Too complicated for my feeble mind to comprehend.  But thanks anyway.

Wed, 10/16/2013 - 10:04 | 4060161 HalinCA
HalinCA's picture

The people who bring you the truth are less important than the veraity of the message.  

People forget that capitalism needs a moral, ethical society to function.  If society loses its bearing, capitalism morphs into just another manipulative tool the ruling elite used to enrich itself.  Human nature always wins out over ideology.

Lauer's comment that he was surrounded by math and science graduates illustrates a very important point.  Starting it the mid 1970s, banking and finance began to replace manufacturing as the highest paid jobs for graduating MBAs.  In my class of 1981 almost nobody wanted to go into manufacturing.  Consulting and investment banking were everyone's goal. $$$$$

And now, 30 years later, our economy and nation are run by people who put money over morality.  Scary implications for all of us.

Until the damage caused by the shift of our best graduates from manufacturing into finance can be reversed, I don't see much hope in rebuilding a healthy economy or society.

Wed, 10/16/2013 - 09:44 | 4060037 shovelhead
shovelhead's picture

Interesting.

Ah, for the good old days...

When you could tell who was a trader or a pirate by looking at their flags.

Of course when the Govt. hands out 'letters of marque' by the hundreds, it's not too suprising that one will become the other.

And accidents will happen.

Wed, 10/16/2013 - 09:15 | 4059946 malikai
malikai's picture

About 90% of ZH commenters will have just learned about OMDF from this post.

Nevertheless, congrats on working with the guys at Backlight. I for one, love their work and look forward to seeing the documentary.

Wed, 10/16/2013 - 11:39 | 4060625 Buck Johnson
Buck Johnson's picture

I agree.

Wed, 10/16/2013 - 09:14 | 4059945 blabam
blabam's picture

The only good program on Dutch television. But their leftie .gov loving bias always shows. 

Wed, 10/16/2013 - 12:28 | 4060912 bank guy in Brussels
bank guy in Brussels's picture

We get a lot of Dutch TV in Brussels, and some shows, like 'Rail Away' on Nederland 2, about train journeys in various countries around the world, are superb

Also get a great laugh out of 'Wegmisbruikers' ('Abusers of the Road'), where live cameras go along with Dutch cops as they catch speeding cars, and then film the guy as they write him a fine for hundreds of euros, or take away his driving licence (for speeding more than 55 kilometres over the limit) ... the Dutch cops seem to especially love pinching German drivers, too ...

Sun, 11/03/2013 - 19:02 | 4117916 Haager
Haager's picture

Hah, de boetes... En nee, de Politie gaat natuurlijk niet puur afgeven op Duitsers - of de Belgen die er ook met regelmaat voor de kamera lopen. De ergste gevallen zijn nog steeds puur Nederlands...

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