Knight Capital


Like many people who have been in the markets and technology for a long time (in my case, pre big bang in London), I’m perplexed by what happened at Knight yesterday.

As per usual, my first visit was to Nanex to discover the “what”, so now I’m trying to find the “why”, e.g., why would a legging algo trade at market, why didn’t the strategy P&L show the problem immediately? Various theories here and here but no clear explanation yet.

It’s a hell of a way to lose $440m!

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