华尔街高科技交易员令人担忧

    这一切是如何影响普通美国401(k)养老金计划投资者的？高频交易员每秒能做成千上万份交易。他们不断搜罗着那些小小的机会。让我们举例子说明。假设你的富达基金经理要买入50,000股埃克森（Exxon），股价75.20美元。他不会一下子就完成整个交易，而是1,000股、1,000股地分批吃进。

    他以75.20美元购买了1,000股后，高频算法察觉到某个大型投资者正在买入埃克森。因此，他们也开始买入埃克森，并把价格推到75.22美元甚至更高。那位富达的经理然后以75.25美元购入了另一批。高频交易员再次跟进，把价格拉高至75.30美元。当富达经理买入最后1,000股时，埃克森已一路涨到75.50美元。这意味着该经理的最后一次购买损失了250美元，因为他的买入价已不是75.25美元，而是75.50美元。而那250美元原本应成为你的投资，40年后的保守回报有望达到2,500美元。

    帕特森没有大谈特谈这种高频交易，而是引人入胜地叙述了这个新世界的疯狂增长及其危险后果。他遵照迈克尔•刘易斯公式，找到了那些鲜为人知的英雄，并解释了那些复杂的金融策略。其中一个就是莱文，从根本上说，这位温和的程序员发明了现代电子股票交易市场，他的工作地点是一间位于曼哈顿南区宽街（Broad Street）的办公室，里面到处是垃圾，还有几只宠物龟在游泳池里游泳，角落里矗立着以色列反坦克火箭筒。

    莱文在20世纪90年代，开创了称做“岛”（Island）的电子交易平台，以对抗他在纽约证券交易所和纳斯达克看到的不公平垄断，那是做市商在进行股票交易的地方。其中的问题是，中间商会勾结起来，牟取每笔交易中的巨大利差。

    具有讽刺意味的是，帕特森发现：为了建立没有中间商的电子交换，莱文需要高频交易员来为买家和卖家提供的流动性。最终，其他电子交易平台，也就是所谓的池，开始形成。结果，高频交易员成为了新的中间商，为池提供了生存所需的交易量。

    举个例子：有一天，位于芝加哥的高平交易公司、同时也是做市商Getco正在举行晨会。纽约股市开盘后五分钟，一个抓狂的电子池职员打来电话，质问为什么Getco还不进行交易。

    这种新兴的电子股票从内部蚕食着纳斯达克和纽约证券交易所。在过去的好日子里，纽约证券交易所把持着美国股市90%的交易。而今天，它处理的量只有四分之一。

    接下来会发生什么？帕特森唯一可以确定的是，高频趋势将会继续下去。他写道，一家名为Spread Networks的公司在芝加哥和纽约的交易中心之间建立起超高速连接，这个价值3亿美元的项目会将光缆直接铺到新泽西州的纳斯达克数据中心。其结果会如何呢？每轮交易的时间将减少3毫秒（千分之三秒）。

    How does all this impact everyday 401(k) investors? High-frequency traders place hundreds of thousands of orders each second. They are constantly on the prowl for small opportunities. So let's say your mutual fund manager at Fidelity is buying 50,000 shares of Exxon (XOM). We'll assume that the stock trades for $75.20. He won't place the whole order at once, instead buying piecemeal in 1,000-share blocks.

    After he buys 1,000 shares at $75.20, the high-frequency algorithms sense that some big investor is buying Exxon. So they also start buying Exxon, pushing the price up to $75.22 and higher. The Fidelity manager then buys another block of shares at $75.25. The high-frequency traders swoop in again and push the price up to $75.30. By the time the Fidelity manager buys his last batch of 1,000 shares, Exxon is all the way up to $75.50. That means the manager lost $250 on the last block by buying Exxon at $75.50 instead of $75.25. That $250 should have been invested for you and, estimating a conservative return over 40 years, grown to $2,500.

    Patterson skips across the high-frequency landscape in an engaging narrative that tracks this new world's blinding growth and its perilous consequences. He follows the Michael Lewis formula of finding little-known heroes to explain complex financial maneuvers. One is Levine, a meek programmer who basically invented modern day electronic stock markets from an office on Broad Street in Lower Manhattan stuffed with trash and pet turtles swimming in a pool, not to mention an Israeli bazooka standing in the corner.

    In the 1990s, Levine started an electronic exchange called Island to fight what he saw as unfair monopolies in the New York Stock Exchange and Nasdaq, which used market makers to execute stock orders. Problem was, the middlemen colluded to skim huge spreads off of each order.

    Patterson quickly gets to the irony: In order to build an electronic exchange without middlemen, Levine needed high-frequency traders to provide liquidity for buyers and sellers. Eventually other electronic exchanges -- called pools -- started forming. High-frequency traders became the new middlemen, providing the trading volumes the pools needed to survive.

    Case in point: One day a morning meeting went long at Getco, a high-frequency trading firm in Chicago. Five minutes after the start of trading in New York, a frantic Island official called asking why Getco wasn't trading yet.

    This new world of electronic pools of stocks eviscerated demand at the Nasdaq and the venerable New York Stock Exchange. In its halcyon days, NYSE hosted 90% of U.S. stock trading. Today, it handles a quarter.

    What's next? Patterson is only sure that the high-frequency trend will continue. He writes about a company called Spread Networks building a super-fast connection between the trading hubs in Chicago and New York, a $300 million project to lay fiber optic cable straight into a Nasdaq data center in New Jersey. The upshot? Cutting 3 milliseconds (three one thousandths of a second) off of the round trip of a trade.