"People are getting screwed because they can't imagine a microsecond." #readingToday
It had been hard to measure the cost of the new market structure. But now there was a tool for gauging not just how orders reached their destination but also how much money this new Wall Street intermediation machine was removing from the pockets of investors large and small: Thor. Brad explained to Mike Gitlin how his team had placed big trades to measure how much more cheaply they bought stock when they removed the ability of the machine to front-run them. For instance, they bought 10 million shares of Citigroup, then trading at roughly $ 4 per share, and saved $ 29,000— or less than a tenth of 1 percent of the total price. "That was the invisible tax," said Rob Park. It sounded small until you realized that the average daily volume in the U.S. stock market was $ 225 billion. The same tax rate applied to that sum came to more than $ 160 million a day. "It was so insidious because you couldn't see it," said Brad. "It happens on such a granular level that even if you tried to line it up and figure it out you wouldn't be able to do it. People are getting screwed because they can't imagine a microsecond."
Flash Boys, Michael Lewis