2. The Curtain Pulled Back on High Frequency Trading

On the morning of June 2, 2010, Sal Arnuk was on the Acela train to Washington, DC. He was thinking about what he wanted to say later at the SEC’s Market Structure Round Table. The panel was convened to bring the SEC up to speed on the structure of the markets that the agency played such a large role in creating between 1997 and 2007. In particular, the SEC wanted to understand the growth of the monster called HFT. Sal had been invited to speak. To say he was intimidated was an understatement.

Sal called the Themis Trading desk to speak to his partner Joe Saluzzi for some last-minute feedback. “Stop it,” interrupted Joe. “You know this stuff cold. I have just one bit of advice for you. It works ...

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