Oct 1, 2015

They Front-Run All Their Clients

She Blinded Me With Science - Thomas Dolby

From the one-hit MTV wonder by Thomas Dolby (YouTube)

It’s thievery at the open, the algos trading SPY crush me
They fake Brownian motion, then end back near the highs of the week
They blighted me with science   (They blighted me with science)
And tricked me with technology

But when I chance longs close to highs
(They’re using rocket science)      Science!
I can smell those criminals           (Science!)

They cause a price implosion when they turn their HFTs on me
And toy with my emotion, making sure it won’t recover till 3
Then they use computer science   (They blighted me with science)
To hide the highest bid from me

When VWAP draws near at 3    (Using rocket science)   Science
I can hear machinery        (Blighting me with science)    Science

It's HFT in motion, and now they’re spamming quotes at me
It’s causing a commotion, their cheating and skulduggery
They front-run all their clients    (They front-run all their clients!)
Then describe it as ‘liquidity’

{old man}:   “Good heavens, Citadel - you're horrible”
I don't believe it -- there they go again !
You spike up overnight, now I can’t buy anything
All my fibi lines and careful charts are antiquated notions

But – they’ve got the secret potion to hit their target lines with ease
When option quotes get frozen, they can sneak back to the highs by 3
They’ve incited me to violence    (They incited me to violence)
But I must fight back hexadecimally