作者：Michael Lewis
出版社：W. W. Norton Company
发行时间：2014年3月31日
来源：下载的 mobi 版本
Goodreads：4.13（48,764 Ratings）
豆瓣：7.8（514人评价）
作者介绍
迈克尔•刘易斯（Michael Lewis）
美国超级畅销书作家，毕业于美国普林斯顿大学和英国伦敦经济学院，曾任所罗门兄弟公司的债券交易员，后为《纽约时报》撰稿。他的成名之作《说谎者的扑克牌》被公认是描写20世纪80年代华尔街文化的经典名作，书中的精彩片段被各大媒体广泛引用，对美国商业文化产生了重大的影响。2011年，其反思金融体系弊端的最新著作《大空头》受到广泛关注与好评。
撰写本书的起因是：
Sergey Aleynikov is a former Goldman Sachs computer programmer. Between 2009 and 2016, he was twice prosecuted for the same conduct of allegedly copying proprietary computer source code from his employer, Goldman Sachs, before joining a competing firm. His first prosecution in federal court in New York ultimately resulted in acquittal by the United States Court of Appeals for the Second Circuit. The outcome of his second prosecution and trial in New York state court was a split verdict dismissed by court, which acquitted him on all counts. That order of dismissal was later overturned by New York intermediate appellate court. He is currently appealing that decision in New York Court of Appeals. His story inspired Michael Lewis's bestseller Flash Boys.
读后感
在研究 LTSE 的时候，看他去年底 LTSE 和 IEX 达成交易合作，好奇 IEX 所以阅读了这本书，其实这本书在金融行业知名度应该蛮高的，但是我之前并不清楚，阅读主要的目的是了解延迟交易这个概念，在看到1/4的时候终于理解了，所以没有在继续读完：
IEX 的技术主要是为了解决大客户在大量采购股票的时候，因为「高频交易」公司利用交易所之间的时间差，抢购股票的行为，而采用延迟的方式，在所有交易所之间同时交易，从而购买到所有需要购买的股票
IEX 的创始人 Brad Katsuyama 是一位日裔加拿大人：
Bradley 'Brad' Katsuyama (born 1978) is a Canadian financial services executive. He is working as the CEO and co-founder of the IEX, the Investors Exchange. He left RBC in 2012 to co-found IEX under the premise that it would be a fairer stock trading venue than other exchanges.
华尔街的高频交易公司，为了增加网络的带宽，居然会去挖隧道，后来一查发现，其实不仅仅是挖隧道，微波、真空光纤、海底光缆、激光通信都是这些企业会去干的事情：
Jump Trading 公司在全球最大期货交易所芝加哥商品交易所数据中心对面，买了一块 12 万平方米的空地。买了之后，他们没盖楼炒房，也不是为了风水，就是架微波通信基站，用于第一时间把交易请求传到芝加哥商品交易所。Jump Trading 没说具体能快多少，但根据此前纳斯达克在楼上安装微波塔的提升来看，只有 0.07 毫秒。
另一家高速网络供应商 Spread Networks 大概从 2010 年开始，花费 3 亿美元挖通修建了一条横穿阿巴拉契亚山脉的光缆隧道，目的是让光缆不用绕道，将数据传输时间再缩短大约 3 毫秒。
到 2013 年，一组破冰队伍和特制的极地冰山电缆铺设船将开始建造第一艘跨北极海底光缆。其中两条名为 “Artic Fibre”和 “Arctic Link” 的光缆将跨过加拿大北极群岛的西北通道。第三条类似走向的海底光缆，俄罗斯跨北极海底光缆（ROTACS）将会围绕北欧北部的斯堪的纳维亚半岛和俄罗斯进行铺设。
通过这三条海底光缆，全球两大金融交易中心英国伦敦和日本东京将几乎得以直连，相比现有方案节省近 8000 公里，两地间的数据传输时间也从大约 0.23 秒减少至 0.17 秒。这项工程耗资大约 15 亿美元。
Anova 公司在位于纽约曼哈顿和新泽西 Carteret 之间的楼宇顶上安装一些白色的设备，两地分别是纽交所和纳斯达克交易所的数据中心。这些外观看上去很像巨型望远镜的盒子是 Anova 激光通信网络的基站，它们能将发丝一般粗细的红外激光射到 10 千米以外的地方。
两大交易所数据中心之间的直线距离大约是 55 千米。Anova 将在中途修建 6 至 7 个激光基站，为交易数据建立一条最直接的通道，以取代光纤和微波无线网络。
激光只能按直线发射，Anova 需要将发射器装在高楼楼顶才能增加传输距离。但高层建筑会在风的影响下小幅度来回摆动，难度在于如何在信号传输过程中让激光射入锅盖大小的接收板，并且在整个传输过程中保持如此。
摘录
Up till then, Brad had taken the stock exchanges for granted. When he’d arrived in New York, in 2002, 85 percent of all stock market trading happened on the New York Stock Exchange, and some human being processed every order. The stocks that didn’t trade on the New York Stock Exchange traded on Nasdaq. No stocks traded on both exchanges. At the behest of the SEC, in turn responding to public protests about cronyism, the exchanges themselves, in 2005, went from being utilities owned by their members to public corporations run for profit. Once competition was introduced, the exchanges multiplied. By early 2008 there were thirteen different public exchanges, most of them in northern New Jersey. Virtually every stock now traded on all of these exchanges: You could still buy and sell Intel on the New York Stock Exchange, but you could also buy and sell it on BATS, Direct Edge, Nasdaq, Nasdaq BX, and so on. The idea that a human being needed to stand between investors and the market was dead. The “exchange” at Nasdaq or at the New York Stock Exchange, or at their new competitors, such as BATS and Direct Edge, was a stack of computer servers that contained the program called the “matching engine.” There was no one inside the exchange to talk to. You submitted an order to the exchange by typing it into a computer and sending it into the exchange’s matching engine. At the big Wall Street banks, the guys who once peddled stocks to big investors had been reprogrammed. They now sold algorithms, or encoded trading rules designed by the banks, that investors used to submit their stock market orders. The departments that created these trading algorithms were dubbed “electronic trading.”
At the same time, the exchanges were changing the way they made money. In 2002 they charged every Wall Street broker who submitted a stock market order the same simple fixed commission per share traded. Replacing people with machines enabled the markets to become not just faster but more complicated. The exchanges rolled out an incredibly complicated system of fees and kickbacks. The system was called the “maker-taker model” and, like a lot of Wall Street creations, was understood by almost no one. Even professional investors’ eyes glazed over when Brad tried to explain it to them. “It was the one thing I’d skip, because a lot of people just didn’t get it,” he said. Say you wanted to buy shares in Apple, and the market in Apple was 400–400.05. If you simply went in and bought the shares at $400.05, you were said to be “crossing the spread.” The trader who crossed the spread was classified as the “taker.” If you instead rested your order to buy Apple at $400, and someone came along and sold the shares to you at $400, you were designated a “maker.” In general, the exchanges charged takers a few pennies a share, paid makers somewhat less, and pocketed the difference—on the dubious theory that whoever resisted the urge to cross the spread was performing some kind of service. But there were exceptions. For instance, the BATS exchange, in Weehawken, New Jersey, perversely paid takers and charged makers.
He wasn’t naïve. He knew that there were good guys and bad guys, and that sometimes the bad guys win; but he also believed that usually they did not. That view was now challenged. When he began to grasp, along with the rest of the world, what big American firms had done—rigged credit ratings to make bad loans seem like good loans, created subprime bonds designed to fail, sold them to their customers and then bet against them, and so on—his mind hit some kind of wall. For the first time in his career, he felt that he could only win if someone else lost, or, more likely, that someone else could only win if he lost. He was not by nature a zero-sum person, but he had somehow wound up in the middle of a zero-sum business.
His body had always tended to register stress before his mind. It was as if his mind refused to accept the possibility of conflict even as his body was engaged in that conflict. Now he bounced from one illness to another. His sinuses became infected and required surgery. His blood pressure, chronically high, skyrocketed. His doctors had him seeing a kidney specialist.
Brad Katsuyama, was going to go below the surface of the technology. People always assumed, because he was an Asian male, that he must be a computer wizard. He couldn’t (or wouldn’t) program his own VCR. What he had was an ability to distinguish between computer people who didn’t actually know what they were talking about and those who did.
It made no sense: Why would the market on the screens be real if you sent your order only to one exchange but prove illusory when you sent your order to all the exchanges at once? Lacking an actual theory, Brad’s team began to send orders into various combinations of exchanges. First NYSE and Nasdaq. Then NYSE and Nasdaq and BATS. Then NYSE, Nasdaq BX, Nasdaq, and BATS. And so on. What came back was a further mystery. As they increased the number of exchanges, the percentage of the order that was filled decreased; the more places they tried to buy stock from, the less stock they actually bought. “There was one exception,” said Brad. “No matter how many exchanges we sent an order to, we always got one hundred percent of what was offered on BATS.” Rob Park studied this and said, “I had no idea why this would be. I just thought, BATS is a great exchange!”
One morning, while taking a shower, Rob had another theory. He was picturing a bar chart Allen had created. It showed the time it took orders to travel from Brad’s trading desk in the World Financial Center to the various exchanges. (To widespread relief, they’d left Carlin’s old offices and moved back downtown.) “I was just visualizing that chart,” he said. “It just occurred to me that the bars are different heights. What if they were the same height? That got me fired up immediately. I went to work and went right to Brad’s office and said, ‘I think it’s because we’re not arriving at the same time.’ ”
The increments of time involved were absurdly small: In theory, the shortest travel time, from Brad’s desk to the BATS exchange in Weehawken, was about 2 milliseconds, and the slowest, from Brad’s desk to Carteret, was around 4 milliseconds. In practice, the times could vary much more than that, depending on network traffic, static, and glitches in the pieces of equipment between any two points. It took 100 milliseconds to blink your eyes; it was hard to believe that a fraction of the blink of an eye could have such vast market consequences. Allen wrote a program—this one took him a couple of days—that built delays into the orders Brad sent to exchanges that were faster to get to, so that they arrived at exactly the same time as they did at the exchanges that were slower to get to. “It was counterintuitive,” says Park. “Because everyone was telling us it was all about faster. We had to go faster. And we were slowing it down.” One morning they sat down at the screen to test the program. Ordinarily, when you hit the button to buy and failed to get the stock, the screens lit up red; when you got only some of the stock you were after, the screens lit up brown; and when you got everything you asked for, the screens lit up green. Allen hadn’t taken his Series 7 exam, which meant he wasn’t allowed to press the Enter button and make a trade, so Rob actually hit the button. Allen watched the screens light up green, and, as he later said, “I had the thought: This is too easy.” Rob did not agree. “As soon as I pushed the button, I ran to Brad’s desk,” recalled Rob. “ ‘It worked! It fucking worked.’ I remember there was a pause and then Brad said, ‘Now what do we do?’ ”
That question implied an understanding: Someone out there was using the fact that stock market orders arrived at different times at different exchanges to front-run orders from one market to another. Knowing that, what do you do next? That question suggested another: Do you use this knowledge to join whatever game is being played in the stock market? Or for some other purpose? It took Brad roughly six seconds to answer the question. “Brad said, ‘We have to go on an educational campaign,’ ” recalls Park. “It would have been very easy to make money off this. He just chose not to.”