Michale Lewis 的书都很好看。这本是关于HFT的：“The hero of the story is a good 'ol Canadian boy Brad Katsuyama, who's sent by RBC to New York to enhance the bank's trading profile and prospects in 2002. Things go well enough for a while until (around 2006-07) Katsuyama notices that weird things are happening when he tried to trade large orders. It's almost as if the market know he's going to submit an order and works against him to drive the price up just as he submits the order. But how is this possible? There's no human leak. What's worse, this seems to be happening to a lot of other traders. What's causing it?

Without giving away the details of the investigation, Katsuyama joins forces with some other small players (RBC may be a big bank, but as a trader it's small potatoes). RBC even lets them run some experiments with real money, losing up to $10K a day to figure out the problem. Which is? The people who've set up the high speed systems (many former Soviet/Russian mathematicians) have set it up so that some people can make money off of tiny delays. Delays that allow a program to "front-run" a stock trade, driving up prices just before filling the order. Or creating artificial volume to capitalize on rebates meant to incentivize functional (real) volume. Or capitalizing on the speed gaps created between stock exchanges to pick off cheap orders from one exchange to another before anyone realized it. Individually, they were minor parasites on the system. Less than 0.1% of the costs. But in a system that deals with billions, if not trillions, of dollars, this was a major amount of money being created.

So what did Katsuyama and his crew do? One option would have been to jump in and join the exploitation. They did not. Instead, they notified a whole host of people in the trading business, informing them of why the market seemed to be acting screwy. Because it was. Perhaps not illegally so (although some legal investigations may be pending), but certainly unfairly so. They then decided to create their own stock exchange, IEX. It solves the problem by introducing artificial lag into the system that prevents high-speed traders from gaming the system. If offered all players, big and small, a chance to trade fairly. All in all, a very effective, very modest, and very Canadian solution.”　@TigerinMotion