EP 088: A former-high frequency trader talks speed, market structure, and dark pools—Dave Lauer

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Dave Lauer is a former-high frequency trader for firms such as Citadel and Allston Trading. He’s worked specifically in various areas of the HFT pipeline, including; research and modelling, building hardware, and programming and operating strategies—which are measured in millionths of a second (or microseconds).

Following the Flash Crash, Dave left his role as a trader (for various reasons we discuss during this episode) and now, as a partner of KOR Group, consults to institutional managers on market structure and best execution.

Dave was also featured in the VPRO documentary, The Wall Street Code, along with other Chat With Traders guests; Haim Bodek, Eric Hunsader, and Blair Hull.

Lessons learned in this interview:

  • After becoming fascinated by markets at a young age, Dave discusses his first job out of college; building HFT hardware at a startup backed by Goldman Sachs.
  • As someone who was a latency measure and mitigation specialist, Dave describes how HFT firms reduce latency and increase data transmission speeds.
  • Dave recalls his firsthand experience from the Flash Crash, his thoughts on why this was a result of “complex systems,” and the epiphany that shortly followed.
  • How Dave became involved in market structure reform, and later, testified about negative aspects of high-speed trading and unnecessary complexity in markets.
  • The affects which derive from executing in dark pools opposed to listed markets, and the sorts of tactics used by HFT firms which get labeled as “predatory.”
dave lauer

Follow Dave on Twitter: @DLauer

Links and resources mentioned:

  • Why I Quit My Job – Watch Dave’s story about why he quit his job as a high frequency trader on storytelling website, Cowbird (where he serves as CTO).
  • The Wall Street Code – Dave features in this VPRO documentary, along with other Chat With Traders guests; Haim Bodek, Eric Hunsader and Blair Hull.
  • KOR Group – An independent market structure research firm, where Dave is CTO and partner with Chris Nagy—helping institutions to achieve best execution.
  • @DLauer – Follow Dave on Twitter, and tweet him about this episode!

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