Comment Nanex: Knightmare on Wall Street (Score 1) 377
It is surprising that the best article on KCG's trades was not shared yet. Check out http://www.nanex.net/aqck2/3522.html for a fascinating look at the trades. Chart 3 shows a millisecond interval chart with around 40 trades happening in under a second, each buying at the offer and immediately selling at the bid. As Nanex put it "you now have a system that's very efficient at burning money".