Broken Markets

Foreword by Former U.S. Senator Ted Kaufman x Introduction 1 Chapter 1: Broken Markets 7 Chapter 2: The Curtain Pulled Back on High Frequency Trading 23 Chapter 3: Web of Chaos 45 Chapter 4: Regulatory Purgatory 67 Chapter 5: Regulatory Hangover 83 Chapter 6: The Arms Merchants 97 Chapter 7: It's the Data, Stupid 111 Chapter 8: Heart of Darkness 125 Chapter 9: Dude, Where's My Order? 141 Chapter 10: The Flash Crash 151 Chapter 11: The Aftermath 177 Chapter 12: Killing the Stock Market That Laid the Golden Eggs 195 Chapter 13: Call to Action 217 Appendix: Themis Trading Whitepapers 233 Index 289

Sal Arnuk is partner, cofounder, and co-head of equity trading of Themis Trading, LLC, a leading independent agency brokerage firm that trades equities for institutional money managers and hedge funds. Arnuk has extensive experience in equities trading and is an expert in electronic trading and market structure. Prior to founding Themis in 2002, he was with Instinet Corporation, where he headed the team responsible for equity sales and trading for institutional money managers, for more than 10 years. His opinions are sought by leaders, regulators, market partici-pants, and the media and are presented via white papers and Themis' widely read blog. He is a frequent speaker at industry conferences, such as Trader Forum, Waters, National Organization of Investment Professionals (NOIP), and Fusion IQ's Big Picture, on issues involving market access, algorithmic trading, and other sell- and buy-side concerns. He also provides expert commentary for media outlets such as the Associated Press, BBC Radio, Bloomberg TV and Radio, BNN, CNBC, Fox Business, NPR, Barron's, The New York Times, The Wall Street Journal, USA Today, Time, Los Angeles Times, Bloomberg News, Pensions & Investments, and Advanced Trading. Arnuk earned an MBA in finance from New York University's Stern School of Business and a Bachelor's degree in finance from SUNY Binghamton University. Joseph Saluzzi is partner, cofounder, and co-head of equity trading of Themis Trading, LLC. Saluzzi has extensive experience in equities trading and is an expert in electronic trading and market structure. Prior to Themis, he headed the team responsible for equity sales and trading for hedge fund accounts at Instinet Corporation for more than 9 years. Saluzzi has provided analysis to regulators, including the Securities and Exchange Commission and as a member of the Commodity Futures Trading Commission's new Subcommittee on Automated and High Frequency Trading. He has appeared or been quoted on market structure