Broken Markets Heart of Darkness推荐.pdfVIP

8 Heart of Darkness On October 24, 2011, while working a few trades for Themis clients, Sal noticed a news headline scroll across his Bloomberg ter- minal: “Alternative Trading System Agrees to Settle Charges That It Failed to Disclose Trading by an Affiliate.” “Hey Joe, check this out,” Sal said. “The SEC is charging an ATS with wrong-doing...whoa, it’s the Pipe!” “What?” Joe asked. “You’re joking, right?” We went to the SEC website to get the details. Pipeline, a dark pool that most of Wall Street used to trade large orders, was fined for engaging in proprietary trading in its agency crossing network, unbe- known to its clients. The SEC had been looking into allegations of misconduct for a period of time, most likely due to a whistle-blowing tip coming from someone at Pipeline. A settlement was reached, without admitting or denying the SEC’s allegations. Pipeline agreed to pay a $1 million fine. Its CEO, Fred Federspiel, and its chairman and former CEO, Al Berkeley, who was a former president and vice chairman of NASDAQ, also agreed to pay $100,000 each, without admitting or denying any wrong-doing. According to the SEC, Pipeline was billed as a crossing network that matched customer buys and sells anonymously. Yet behind the scenes, a trading firm that it owned was actually trading against inves- tor orders entered into the system . The SEC’s administrative order highlighted the following:1 125 126 Broken Markets • Pipeline actively advertised that it had no prop trading, the trad- ing opportunities in its dark pool were “natural,” it would never reveal customer order information, and it denied arbitrageurs and HFT firms any information about order flow. • In reality, Pipeline owned