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• Introduction
• About This Book
• Foolish Assumptions
• Icons Used in This Book
• Beyond the Book
• Where to Go from Here
• Part I: Getting Started with Dark Pools
• Chapter 1: Focusing on Dark Pools and High Frequency Trading, Just the Basics
• Defining Dark Pools: Why They’re an Investment Option
• Explaining What High Frequency Trading Is
• Knowing Who’s Involved When Investing in Dark Pools
• Brokers can make or break you
• The other important folk
• Looking at the Order Types
• Considering the regular order types
• Eyeing the special order types
• Regulating the Markets: Legislators Take Action
• Chapter 2: Taking a Dip into Dark Pools
• Taking a Snapshot of Dark Pools: What They Are and Aren’t
• Settled outside the public eye
• Need for secrecy: Dark versus lit
• Improving price
• Examining How Dark Pools Work: Step by Step
• Weighing the Rewards and the Risks
• Identifying potential rewards
• Recognising the risks and preparing for them
• Investigating Whether Your Trades Are Exchanged in Dark Pools
• Asking your broker the right questions
• Sleuthing on your own if you don’t use a broker
• Making the Best of Your Transactions
• Chapter 3: Grappling with the Ins and Outs of Securities Markets
• Figuring Out Pricing: The World of Bids and Offers
• Grasping how pricing works
• Looking at opening and closing prices
• Looking at the highest and lowest prices
• Making Buying and Selling Easier: Liquidity
• Market liquidity
• Off-market liquidity
• Understanding the Importance of Market Makers
• Using VWAP and MVWAP
• Getting to grips with order routing
• Focusing on price/time priority
• Eyeing direct market access
• Part II: Diving into Dark Pool Markets
• Chapter 4: Introducing Dark Pool Providers
• Comparing the Different Types of Dark Pool Providers
• Big-time investments: Block-oriented dark pools
• No minimum shares required: Streaming liquidity pools
• Crossing pools
• Looking at Bank- and Broker-Owned Providers
• Barclays LX Liquidity Cross
• CrossFinder
• Fidelity Capital Markets
• GETCO/KCG
• Sigma X
• ConvergEx
• Alpha Y
• DBA/Super X
• Looking at Exchange-Owned Providers
• International Securities Exchange (ISE)
• New York Stock Exchange/Euronext
• BATS Global Markets
• Eyeing Some Providers That Have Been Bought Out
• Chi-X Global
• Instinet
• Chapter 5: Meeting the Players and Places
• Recognising Who the Market Makers Are
• Heading towards extinction: The human touch
• Going the automated route
• Examining the Venue: Where All the Action Takes Place
• Knowing the venue options
• Differentiating between stock markets and dark pools
• Identifying the Cast of Characters
• Brokers and dealers
• Private investors
• Regulators
• Data centres
• Journalists, bloggers and writers
• Academia
• Automated traders
• Chapter 6: Regulating Dark Pools
• Relating to Regulation
• Defining regulation and legislation
• Taking action to be more empowered about legislation and regulation
• Eyeing Regulation of Dark Pools in the United States: Reg NMS
• Rule 610: The market access rule
• Rule 611: The order protection rule
• Rule 612: The sub-penny rule
• Looking at Europe — the Fastest-Growing Dark Pool Fixture
• Markets in Financial Instruments Directive
• Financial transaction tax (FTT)
• Considering Other Markets
• Canada
• Asia
• Australia
• Part III: Coming to Grips with Automated Trading
• Chapter 7: Comprehending Automated Trading
• Identifying Quantitative Analysts
• What makes a good quant
• What quants do
• Why quants are essential
• Entering the Realm of the Algorithm
• Knowing what an algorithm is
• Building an algorithm
• Letting an algorithm loose on the markets
• Chapter 8: Grasping Standard Order Types
• Identifying the Standard Order Types
• Comprehending price time priority
• Gobbling up everything: At-market orders
• Setting the price on a matching trade: Limit orders
• Managing risk: Stop orders
• Identifying Advanced Standard Order Types
• Hiding behind the full amount: Iceberg orders
• Wanting it now: Fill or kill orders
• Executing only a portion: Immediate or cancel orders
• Chapter 9: Identifying the Special Order Types
• Getting a Hold of the Basics of Special Order Types
• Eyeing their characteristics
• Differentiating between routable and non-routable orders
• Providing Firms with Rebates: Post-Only Orders
• Moving to the Next Level: Hide and Not Slide Orders
• Getting the Best Possible Price: Peg Orders
• Lining up first: Primary peg orders
• Buying based on offer price and selling based on bid price: Market peg orders
• Matching in the middle: Midpoint peg orders
• Executing Quickly: Intermarket Sweep Orders (ISOs)
• Chapter 10: Delving into High Frequency Trading
• Tackling the Definition of High Frequency Trading
• Eyeing HFT: What it’s all about?
• Recognising characteristics of high frequency traders
• Examining what high frequency traders do
• Predicting the Future of HFT
• Technology — staying ahead of the times
• Markets — looking for new venues
• Legislation – preparing for future regulations
• Academic study — listening to the whizzes
• Chapter 11: Understanding Key High Frequency Trading Strategies
• Scalping for Your Pennies
• Peering into the world of scalping
• Identifying what can go wrong with scalping
• Scalping the automated route
• Pinging to Gather Valuable Information
• Identifying what pinging does
• Examining whether pinging is fair
• Looking at pinging in action
• Gaming like a Casino
• Manipulating quotes
• Taking advantage of prior knowledge: Front running
• Part IV: Being Aware of the Risks of Dark Pools
• Chapter 12: Jockeying Too Much for Position
• Understanding How Front Running Impacts Your Investments
• Looking at insider information
• Having priority access to information
• Feeding the news data quickly
• Leaking news
• Locking up the news
• Examining Order Cancellations
• Gathering information
• Stuffing quotes
• Playing games
• Identifying the Impact of Slippage
• Knowing What You Can Do to Mitigate These Risks
• Chapter 13: The Ins and Outs of Flash Crashes
• Grasping How Flash Crashes Happen
• Blaming the news flow
• Holding humans responsible
• Computer programming loops
• Eyeing How Flash Crashes Spook the Whole Market
• Flash crashes draining liquidity
• Going from a lively market to a ghost town: Volume isn’t relevant
• Examining the Greatest Flash Crash of All Time
• The perfect storm triggered
• Theorising about the causes
• The SEC Speaks: The Official Version of the 2010 Flash Crash
• Noting the market’s appearance
• Identifying the participants
• Tracking the 2010 Flash Crash, Moment by Moment
• Criticising the SEC’s Report
• Considering an Alternative Version of the 2010 Crash
• Finding the exact moment
• Blaming HFT
• Analysing a Flash Crash
• Part V: The Part of Tens
• Chapter 14: Ten of the Best Dark Pool/HFT Websites
• Banker’s Umbrella
• Haim Bodek
• Themis Trading
• Scott Patterson
• Zero Hedge
• CFA Institute
• Nanex
• Able Alpha
• The Trading Mesh
• Healthy Markets
• Chapter 15: Ten Ways to Swim Safely in Dark Pools
• Watching the Bid Offer Spread Action
• Checking to See Whether Your Market Order Slips
• Identifying Changes in the Bid Spread
• Spotting 100 or 200 Block Orders in the Order Book
• Checking for Your Limit Number in the Order Book
• Verifying the Stock’s Spread
• Recognising Flash Crashes
• Reading a Tick-by-Tick Chart
• Talking to Your Broker
• Perusing the Executed Orders
• Chapter 16: Ten Common Algorithmic Strategies
• Market Making
• Getting Liquidity Rebates
• Deviating from the Norm with Statistical Arbitrage
• Catching the Short-term Momentum
• Employing Latency Arbitrage
• Following the News
• Igniting Momentum
• Combining a Dark Pool and Lit Markets
• Factoring in the Participation Rate
• Weighting for Time
• Chapter 17: Ten Things to Know About Market Microstructure
• Market Access Speed
• Order Types
• Networks
• Algorithms
• Fragmentation
• Order Routing
• Regulation
• Transparency
• Price Formation
• Market Intermediaries
• About the Author
• Cheat Sheet
• More Dummies Products