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A Federal Energy Regulatory Commission report this week said Glendale was "associated with Enron in executing the trading strategies in a willful and knowing manner". Municipal utilities serving Los Angeles and half a dozen other California cities also were targeted in the FERC report, which said their activities appeared to constitute market "gaming" in violation of state tariffs.
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He called for executing "the trades that make sense".
This will save the increasingly important program traders precious nanoseconds between sending an order and executing the trade.
Much of the case rests on what was said during a 20-minute call between Mr. Martoma and Mr. Cohen the night before SAC began executing the trades.
On average, the shares investors sold did better than those they bought, by a very substantial margin: 3.3 percentage points per year, in addition to the significant costs of executing the trades.
Instead, the SEC says, BNY used the program as an opportunity to earn more on each transaction by executing the trades at the highest reported interbank rate for the day if the client was buying the foreign currency, and at the lowest if the client was selling currency.
Northey and other experts said that the problems caused by such trading have very complex root causes, and will not be solved merely by ensuring the software executing the trade is working as expected.
For example, if you buy $5,000 worth of Disney stock, your broker might charge a $150.00 commission for executing the trade.
With algo-trading, traders feed their client's order into their computer which executes the trade.
In what's called nondiscretionary trading, computers both find the inefficiencies and execute the trades.
Regulators are trying to determine Mr. Miller's motives and how he was able to execute the trade at all.
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Justyna Jupowicz-Kozak
CEO of Professional Science Editing for Scientists @ prosciediting.com