Former high-frequency trader, Dave Lauer, has worked for firms such as Citadel and Allston Trading. His experience is particularly focused in multiple areas of the HFT pipeline, including; building hardware, research and modeling, and programming and operating strategies — which can be measured in microseconds.
Dave retired from his role as a trader (for several reasons that we’ll cover later on), following the Flash Crash and is now is a partner of KOR Group and a consultant to institutional managers on market structure and best execution.
As well as other Chat With Traders guests (Haim Bodek, Eric Hunsader, and Blair Hull), Dave was featured in the VPRO documentary, The Wall Street Code.
What’s Covered in This Interview:
- Building HFT hardware at a startup backed by Goldman Sachs was a fitting first job out of college, due to Dave’s early onset fascination of the markets.
- Dave leans on his experience as a latency measure and mitigation specialist, telling us how HFT firms decrease latency and improve data transmission speeds.
- Why the Flash Crash was a result of “complex systems,” Dave’s own firsthand experience with the event, and the accompanying epiphany.
- Dave’s journey to becoming involved in market structure reform, and why he later testified about the negative aspects of high-speed trading and the unnecessary complexity in markets.
- The results of executing in dark pools versus listed markets, and the kind of “predatory” tactics that HFT firms use.
Links and Resources:
- Why I Quit My Job – Visit the storytelling website Cowbird (where Dave is also CTO), and watch his tale about why he left his job as a high frequency trader.
- The Wall Street Code – Dave and other Chat With Traders guests; Haim Bodek, Eric Hunsader, and Blair Hull, are featured in this VPRO documentary.
- KOR Group – Dave is the CTO of this independent market structure research firm, and with partner Chris Nagy helps institutions to achieve their best execution.
- @DLauer – Tweet Dave about this episode and follow him on Twitter!
- Technician – For professional-grade charts and technical analysis tools everywhere you go, use Technician!
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