7. It’s the Data, Stupid

On a cold February morning in 2010, we received a short email that would shake up the HFT industry and question the credibility of some major exchanges. The email, which came in from an account that we didn’t know, said simply, “Check out the data feeds. Information on hidden orders is being leaked.”

Being deeply involved in the HFT debate, we had begun receiving quite a few emails from the public. Many encouraged support of our stance. Others were critical and questioned our motives. Occasionally, we would receive tips on how to find how HFTs were getting an official edge over retail and institutional investors.

We always respond to every email and follow up any clues. This email was a bit different, though. It was short ...

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