Man Vs. Machine: How the Crash of ’87 Gave Birth To High-Frequency Trading

A small coterie of savvy investors smelled an opportunity. Since the SOES trades were automated, meaning they received almost instant execution, and were given priority ahead of the rest of the market, a fast-moving trader could move in and out of stocks using SOES at a far-more rapid clip than large investors, generating big profits. (CNBC)

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SOES Bandits revisited

Who remembers Sheldon Maschler?  Harvey Houtkin?  They were the original SOES Bandits.  Sheldon headed up the infamous Datek Securities.  In 1989, with the help of two boy wonders, Jeff Citron and Josh Levine, they created Watcher, a software program that allowed day traders to take advantage of a weakness in the SOES system: relatively slow updating of price quotes.  SOES was intended for small orders, but Datek was using the system for large trades, buying stocks and then selling them again within seconds. (Themis Trading)

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