http://www.bloomberg.co.jp/news/123-NNBDCI6JTSF101.html
｢フラッシュ･クラッシュ｣逮捕劇で噴出した疑問−Ｍ・ルイス
2015/04/27 09:55 JST

【コラムニスト：Michael Lewis】　　（ブルームバーグ・ビュー）：米商品先物取引委員会（ＣＦＴＣ）が英国人トレーダーのナビンダー・シン・サラオ容疑者を摘発した事件で最初に抱く疑問は、なぜ５年もかかったのかという点だ。
ロンドンのヒースロー空港近くで両親と同居する男が、米国株先物に大量の売り注文を出すと見せかけた。すると、2010年５月６日の相場はあっという間に急落した。この２つの出来事に何らかの因果関係があったかもしれないとの判断に大集団の米金融規制当局が至るまで、５年の年月を要したのだ。全く理解できない。
各種報道によれば、ＣＦＴＣには立件できるほど十分な情報を持ち合わせていなかったようだ。相場急落の「フラッシュ・クラッシュ」の後、ＣＦＴＣは同日執行された取引だけに焦点を絞り、取引執行のつもりはない注文には目を向けなかった。内部告発者が先物市場の実情を説明するまでその態勢が続いたというのだが、そんなはずはないだろう。
フラッシュ・クラッシュの直後、市場データ会社ネイネックス（本社シカゴ）の創業者、エリック・ハンセーダー氏は同じ日に疑わしいトレーディング活動がたくさんあったことを察知している。例えば、取引するつもりがないのに１つの銘柄に１秒間に計5000ものクオート（気配値）が複数の高頻度取引（ＨＦＴ）会社から出ていた。ネイネックスは10年６月18日にこれらの調査結果をリポートで発表している。

ＣＦＴＣは何をやっていたのか
このリポートを翌週の６月23日に、ウェブサイトのゼロ・ヘッジが掲載。その２日後、ＣＦＴＣのチーフエコノミスト、アンドレイ・キリレンコ氏がハンセーダー氏に電子メールを送っている。ハンセーダー氏によれば、同氏は首都ワシントンに招待され、ＣＦＴＣで委員長を含めあらゆる関係者に話をした。その後、ネイネックスはＣＦＴＣから出張してきたプログラマーに１日かけて同社のデータの読み方を伝授。フラッシュ・クラッシュのデータを持たせて同プログラマーをワシントンに帰したが、その後この件に関して音沙汰はなかったという。
10年10月、ハンセーダー氏は引き続きフラッシュ・クラッシュのデータを詳しく調べていたが、「10月７日から14日の間にサラオ容疑者によるスプーフィング（見せ玉）に気付いた」と同氏は話す。どこか大手ＨＦＴ会社のアルゴリズムの仕業だろうと考えた同氏は、ＣＦＴＣに電話でこの件を伝えたが、驚くことにＣＦＴＣはその時点でまだ何も発見できていなかった。「ＣＦＴＣには当社からのデータがあり、10年８月にはそれを活用する能力があったことは重要だ」と同氏は指摘。先物に詳しいＣＦＴＣだから「瞬時に分かったはずだ」と続けた。
こうなると、新たな疑問が湧く。情報を持ち合わせていながら５年も放置するのなら、なぜそのまま知らぬふりをしなかったのかという疑問だ。この件を今になって表沙汰にすると決めたＣＦＴＣの当事者らは、自分たちが渦中に置かれると分かっていたはずだ。だから、ある意味で勇敢な行為とも言える。

ＳＥＣは大恥
ＣＦＴＣはすでに、その不手際をメディアにやゆされ、今後は間違いなく議会のさまざまな委員会で質問攻めに遭うだろう。おかげで米証券取引委員会（ＳＥＣ）も大恥をかいた。ＳＥＣはフラッシュ・クラッシュに関する報告書でアルゴリズムを駆使するトレーダーらの悪質行為の数々には触れず、相場急落の主因としてカンザス州の資産運用会社の単純ミスを挙げていたからだ。ＳＥＣとＣＦＴＣの共同報告書をまとめた執筆者らは、急落当日に米市場で何が起きていたかを示す大量の情報がＣＦＴＣから入手可能であったにもかかわらず、あえて手に入れようとしなかったか、あるいは意図的に無視したことになる。その理由を世界は知りたがるだろう。
そもそも米国株市場の操作を図るトレーダーは、市場そのものの抵抗に遭う。フラッシュ・クラッシュが起きたとき、サラオ容疑者は発注と決済に経営破綻前のＭＦグローバルを使ったようだが、同社には容疑者がやろうとしていたことが見えなかったのだろうか。今ではＨＦＴのインフラを貸し出す一大ビジネスがウォール街に出現しているが、このビジネスは顧客の行動にブローカーは関知しないという了解の上に成り立っているのだろうか。ＨＦＴの技術を貸し出す大手金融機関には、それを使って顧客が取った行動への責任はないのか。同じ意味で、米国の証券取引所にはそこで起きることへの責任はないのだろうか。

引っ掛かったのは誰だ
サラオ容疑者が市場操作を図った注文は、シカゴ・マーカンタイル取引所（ＣＭＥ）に出されたというが、同取引所はなぜ気付かなかったのだろうか。あるいは気付いても、ＨＦＴ顧客にはよくあることだと気にも留めなかったということなのか。
そして最大の疑問はこれだ。違法注文はほぼ同じ規模の先物の売り買いのみだったサラオ容疑者が、どのように株式市場を震撼させる急落を引き起こせたのかという点だ。同容疑者はあの日、実際に売りは行っていない。市場をだまして相場が下がったところでもっと安く買おうとしていただけだ。このトリックに誰が引っ掛かったのか。
さらには、このトリックはイケるかもしれないとサラオ容疑者が思ったいきさつが分かれば、なお興味深い。突拍子もないエピソードがまだ、ここには眠っている。株取引を執行する機械を打ち負かす方法を賢い英国人トレーダーが思いつき、勝負に出る。相場を下げに導くトリックにせっせと取り組んでいたある日、これまで見たことのないような劇的な急落が目の前で展開する。当の本人は自宅があるハウンズローに身を潜める穴を掘るでも、国外逃亡するでもなく、両親の家にとどまり相変わらずスプーフィングを続ける。忘れていたころに突然、不正をとがめられショックを受ける。約束事を守らなかったという行為は金融の世界では珍しいことではない。今回のケースはそうした世界のパロディーだ。（マイケル・ルイス）

（マイケル・ルイス氏はブルームバーグ・ビューのコラムニストです。このコラムの内容は同氏自身の見解です）
原題：Some of the Flash Crash Story Just Makes No Sense: Michael Lewis（抜粋）
記事に関する記者への問い合わせ先： Palo Alto Michael Lewis mlewis1@bloomberg.net
記事についてのエディターへの問い合わせ先： Marty Schenker mschenker@bloomberg.net
更新日時: 2015/04/27 09:55 JST

http://www.zerohedge.com/article/how-hft-quote-stuffing-caused-market-crash-may-6-and-threatens-destroy-entire-market-any-mom

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How HFT Quote Stuffing Caused The Market Crash Of May 6, And Threatens To Destroy The Entire Market At Any Moment
Tyler Durden's pictureSubmitted by Tyler Durden on 06/23/2010 17:16 -0400

Capital Markets CBOE Commodity Futures Trading Commission FINRA High Frequency Trading High Frequency Trading Market Crash Mexico NASDAQ New York Stock Exchange Reality

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Even as the idiots at the SEC mope about cluelessly, confirming they deserve not one cent of taxpayer money to fund their massively overbloated budget, and should all be summarily fired to collect tarballs in the Gulf of Mexico (and soon Maine), our friends at Nanex have conducted an exhaustive analysis (must read for everybody concerned about market structure), in which they identify the various parties responsible for the market crash, and, drumroll please, High Frequency Trading stands at the pinnacle of culprits for the 1,000 point Dow drop. From their findings: "While analyzing HFT (High Frequency Trading) quote counts, we were shocked to find cases where one exchange was sending an extremely high number of quotes for one stock in a single second: as high as 5,000 quotes in 1 second! During May 6, there were hundreds of times that a single stock had over 1,000 quotes from one exchange in a single second. Even more disturbing, there doesn't seem to be any economic justification for this. In many of the cases, the bid/offer is well outside the National Best Bid/Offer (NBBO). We decided to analyze a handful of these cases in detail and graphed the sequential bid/offers to better understand them. What we discovered was a manipulative device with destabilizing effect." In other words: enough with all the bullshit about HFT as a liquidity provider mechanism: in reality this is just a facade for the most insidious, computerized market manipulative device ever created. Nanex' conclusion: "What benefit could there be to whomever is generating these extremely high quote rates? After thoughtful analysis, we can only think of one. Competition between HFT systems today has reached the point where microseconds matter. Any edge one has to process information faster than a competitor makes all the difference in this game. If you could generate a large number of quotes that your competitors have to process, but you can ignore since you generated them, you gain valuable processing time. This is an extremely disturbing development, because as more HFT systems start doing this, it is only a matter of time before quote-stuffing shuts down the entire market from congestion. We think it played an active role in the final drop on 5/6/2010, and urge everyone involved to take a look at what is going on. Our recommendation for a simple 50ms quote expiration rule would eliminate quote-stuffing and level the playing field without impacting legitimate trading."

We present the Nanex' full report (please focus particularly on Part 4 and the provided evidence) and urge all readers, as we have many times before, to end all stock trading activities immediately (which at the macro level are nothing but a reflection of the EURJPY trade anyway) until such time as the SEC, CFTC, Finra, and every other corrupt and captured agency finally does something about the HFT menace. Doing nothing is merely inviting certain disaster yet again, and a guaranteed market crash, which next time wipe out the entire market permanently and destroy all confidence in US capital markets in perpetuity.

Analysis of the "Flash Crash"
Date of Event: 20100506
Complete Text

There are 9 exchanges that make markets in NYSE listed stocks: NYSE, Nasdaq, ISE, BATS, Boston, Cincinatti, CBOE, ARCA and Chicago. Each exchange submits a bid and/or offer price for each stock they wish to make a market in. The highest bid price becomes the National Best Bid and the lowest offer price becomes the National Best Ask. Exchanges compete, fiercely at times, to become the best bid or offer because that is where orders will be sent for execution. Exchanges also go to great lengths to ensure they avoid crossing other exchanges (bidding higher than others are offering, or offering lower than others are bidding), because if they do, many High Frequency Trading (HFT) systems will immediately execute a buy/offer and capture an immediate profit equal to the difference. Today, it is very rare to see markets crossed in stocks for longer than a few milliseconds.

Beginning at 14:42:46, bids from the NYSE started crossing above the National Best Ask prices in about 100 NYSE listed stocks, expanding to over 250 stocks within 2 minutes (See Part 1, Chart 1-b). Detailed inspection indicates NYSE quote prices started lagging quotes from other markets; their bid prices were not dropping fast enough to keep below the other exchange's falling offer prices. The time stamp on NYSE quotes matched that of other exchange quotes, indicating they were valid and fresh.

With NYSE's bid above the offer price at other exchanges, HFT systems would attempt to profit from this difference by sending buy orders to other exchanges and sell orders to the NYSE. Hence the NYSE would bear the brunt of the selling pressure for those stocks that were crossed.

Seconds later, trade executions from the NYSE started coming through in many stocks at prices slightly below the National Best Bid, setting new lows for the day. (See Part 1, Chart 2). This is unexpected, the execution prices from the NYSE should have been higher -- matching NYSE's higher bid price, unless the time stamps are not reflecting when quotes and trades actually occurred.

If the quotes sent from the NYSE were stuck in a queue for transmission and time stamped ONLY when exiting the queue, then all data inconsistencies disappear and things make sense. In fact, this very situation occurred on 2 separate occasions at October 30, 2009, and again on January 28, 2010. (See Part 2, Previous Occurrences).

Charting the bid/ask cross counts for those two days reveals the same pattern as 5/6! Looking at the details of the trade and quote data on those days shows the same time stamp/price inconsistencies. The NYSE stated that during the same intervals, they were experiencing delays in disseminating their quotes!

In summary, quotes from NYSE began to queue, but because they were time stamped after exiting the queue, the delay was undetectable to systems processing those quotes. On 05/06/2010 the delay was enough to cause the NYSE bid to be just slightly higher than the lowest offer price from competing exchanges, but small enough that is was difficult to detect (See Part 3, The Evidence). This caused sell order flow to route to NYSE -- thus removing any buying power that existed on other exchanges. When these sell orders arrived at NYSE, the actual bid price was lower because new lower quotes were still waiting to exit a queue for dissemination.

This situation led to orders executing against whatever buy orders existed in the NYSE designated market maker (DMM) order book. When an order is executed, the trade is reported to a different system (CTS) than quotes (CQS). Since trade report traffic is much smaller than quote traffic, there is rarely any queueing or delay.

Because many of the stocks involved were high capitalization bellwether stocks and represented a wide range of industries, and because quotes and trades from the NYSE are given higher credibility in many HFT systems, when the results of these trades were published a few milliseconds later, the HFT systems detected the sudden price drop and automatically went short, betting on capturing the developing downward momentum. This caused a short term feed-back loop to develop and panic ensued.

Some trading firms have stated that they detected a problem with the accuracy of the data feed and decided to shut down which further reduced liquidity. We think the delay in NYSE quotes was at the root of this detection.

On the subject of HFT systems, we were shocked to find cases where one exchange was sending an extremely high number of quotes for one stock in a single second -- as high as 5,000 quotes in 1 second! During May 6, there were hundreds of times that a single stock had over 1,000 quotes from one exchange in a single second. Even more disturbing, there doesn't seem to be any economic justification for this. In many of the cases, the bid/offer is well outside the National Best Bid/Offer (NBBO). We decided to analyze a handful of these cases in detail and graphed the sequential bid/offers to better understand them. What we discovered was even more bizarre and can only be evidence of either faulty programming, a virus or a manipulative device aimed at overloading the quotation system. You can see our results in Part 4, Quote Stuffing.

Recommendations:

Quote and trade data must be time stamped by the exchanges at the time it is generated. This will ensure delays can be detected by everyone.
Reasoning: Changing the procedure to time stamp at the time a quote or trade is generated is a near trivial exercise. It probably comes as a surprise to many that time stamping isn't done that way now.

Quote-stuffing should be banned.
Reasoning: It is a manipulative device designed to overload the quotation system. Quote and trade dissemination (data feed) is a finite resource, and should be treated as such.

Add a simple 50 millisecond quote expiration rule: a quote must remain active until it is executed or 50ms elapses. If the quote is part of the NBBO, it may be improved (higher bid or lower offer price) at any time without waiting for the expiration period.
Reasoning: The exchanges must protect the integrity of the National Best Bid/Offer system. What is the point of having a National Best Bid/Offer, if not everyone in your nation (apologies to Alaska/Hawaii) can reasonably execute a trade against it? 50ms is approximately the time it takes light and electronic communication to travel from New York to California and back. It is impossible to transmit information any faster. This rule would not limit quote/trade rates. So long as trades are executing, quotes can update thousands of times a second. Only a small percentage of quotes today would be affected and the potential for catastrophically high rates would be eliminated.

h/t Dmitry and Digablep
http://www.zerohedge.com/article/how-hft-quote-stuffing-caused-market-crash-may-6-and-threatens-destroy-entire-market-any-mom