We do. You are grossly misinformed. The charts correctly show the sequence and times of this event. I'm not going to engage this discussion further, though pmail is fine.
Using "unsigned ints" for values that will never be negative allows you to perform one validation test instead of two. Use a typedef to avoid writing "unsigned" everywhere and you end up with less clutter in the code (for humans) and in the binary (for machines).
I am Eric Hunsader from Nanex and created this animation using our own custom software tools and our NxCore data feed.
Our position on HFT can be summed up in the first lines of text below the image: "It's not high frequency trading (HFT) that concerns us. It's high frequency quoting". Links are included for details. Our latest paper on HFT can be found here: http://www.nanex.net/aqck2/3532.html
Anyone who has taken the time to really look at the contents of the tsunami of data that some HFT creates will come to the conclusion that something very wrong and harmful going on. We've found this is nearly impossible to convey in text or graphics (with the possible exception of this animation), and sooner or later as more and more academics get up to speed, they will generally come to the same conclusions we have.
Our primary business is providing a real-time (and historic ) data service for U.S. Stocks, Options and Futures. In the course of monitoring our feed for our subscribers, we run across anomalies that we think need to be published for the public good or long term health of our markets. We have not received a dime from any of our analysis and not a week goes by that we don't regret opening that Pandora's box.
I will check back later today to answer any questions. If you don't receive a reply for a few hours, it's because we are working at our "day job".
Rebate for liquidity is entirely different. So is retail price improvement (aka sub-penny pricing).
Retail order flow is sold to a wholesaler like Nite who matches it internally. They are allowed (best execution) to give you the price at the NBBO during a 1 second window. For less active stocks, the NBBO price can change 1,000/second or more. For all stocks, the NBBO price will be slower than the direct feed price. This latency and differential makes it a risk free trade (so long as you don't accidentally release your test code into production: see http://www.nanex.net/aqck2/3525.html)
There is no way to prove what prices existed on all markets at the time your trade was executed, meaning it's on the honor system. So this depends on your trust in Wall Street to give you the best deal.
The problem isn't trading fast, it's trading unfairly. Not following regulations. Heaping the costs of speed on others, while reaping the benefits. We have documented hundreds of examples of clear rule violations. http://www.nanex.net/aqck/aqckIndex.html
Did you know that in 1999, during the internet bull market, the system processed just 1000 quotes/second, and today it's 1.5 million/second? Guess who pays for that? Guess who benefits? http://www.nanex.net/aqck2/3528.html
Did you know that your orders to ETrade and other retail brokers are tagged as "dumb" and sold to the highest bidder like Knight, UBS, Citadel, who then internally match your order (it never goes to the exchange, except during the flash crash). They give you the price from the slower system, but buy/sell from the faster one. The incentive to skew the two is irresistible. http://www.nanex.net/aqck2/3519.html
When you get a price-improvement of a penny on a 100 share $60,000 apple trade, they steal 99 cents - and front run some other investor, who's order is left hanging (sometimes forever). It happens in Apple more than 2,000 times a day. http://www.nanex.net/aqck2/3520.html
When you offer to buy something at a price, then yank that price before the other party can see it (speed of light), is that fair? It happens millions of times a day. http://www.nanex.net/Research/bloodbot/bloodbot.html
Then why did BATS not reschedule their IPO again the next day? First impressions, regardless of how illogical they maybe, play a significant role in group behavior.
"Even if their had been a glitch?" Really? 3x the open was postponed, followed by 17 seconds of no quotes/trades on ANY stock from Nasdaq, followed by a crossed quote from same exchange, followed by 3+ hours of no quote in FB from the listed exchange.