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Flash Boys: Algorithms and Hidden Edges
Created by Shaunak Ghosh
Build a clear mental model of how modern electronic markets work, why milliseconds matter, and how HFT strategies extract edge through infrastructure and market design. You’ll connect microstructure mechanics to the 2010 Flash Crash, then transfer the same framework to crypto—contrasting CEX order books with DEX AMMs and understanding MEV/sandwich attacks plus practical defenses.
Requirements
- Basic understanding of buying vs selling an asset
- Comfort reading simple prices and quantities
- High-level idea that networks have latency (delay) and computers can automate decisions
What you'll learn
- Explain how an order book organizes liquidity (top-of-book vs depth) and why execution priority exists.
- Describe why HFT is fundamentally a latency-and-systems problem, including the market-data pipeline from feed to decision.
- Explain how co-location creates repeatable trading advantages and what structural asymmetry it introduces.
- Analyze the Flash Crash as a liquidity/feedback-loop event rather than a fundamentals story, including why liquidity can vanish suddenly.
- Differentiate CEX order-book execution from DEX AMM execution and predict how each design affects slippage and bot behavior.
- Explain MEV and sandwich attacks step-by-step and choose practical defenses (especially slippage limits) in real trading scenarios.
Learning path
5 modules • Each builds on the previous one
1
Order books, spreads, and latency basics
Build a mental model of modern electronic markets: limit vs market orders, the limit order book, bid–ask spread, matching engines, and why time priority makes milliseconds valuable.
1 video5 min
2
What high-frequency trading really is
Define HFT as a subset of algorithmic trading characterized by ultra-low latency, high message rates, and short holding periods; distinguish market making, arbitrage, and directional strategies and how they earn (and lose) money.
1 video5 min
3
Latency arbitrage: faster cables and co-location
Explain how firms buy speed (co-location, fiber routes, microwave links) and how that enables latency arbitrage—capturing price differences across venues before others can react—plus why it is not always risk-free.
1 video8 min
4
2010 Flash Crash: algorithmic feedback loops
Analyze the May 6, 2010 Flash Crash using the order-flow framework: how liquidity can evaporate, how algorithms respond to volatility, and how feedback loops across venues can amplify a shock in seconds.
1 video5 min
5
Crypto bots: front-running, MEV, wash trading
Transfer the HFT framework to crypto by separating CEX order-book dynamics from on-chain DEX mechanics. Cover common bot behaviors (front-running/sandwiching, MEV extraction, spoofing-like tactics, wash trading) and what market design choices make them possible.
2 videos9 min
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Begin your learning journey
Modules5
Duration29 min
Science-backed learning
In-video quizzes and scaffolded content to maximize retention.
Key concepts
How Electronic Order Books Work (L1 Vs L2, Bid/Ask, Time-Price Priority)Why Milliseconds Matter: Latency, Queue Position, And Being FirstHFT Architecture Basics: Market-Data Feeds, Feed Handlers, In-Memory Books, TimestampsCo-Location And Infrastructure-Based Speed AdvantagesConditional Liquidity And Algorithmic Feedback Loops (Flash Crash Dynamics)How Cross-Venue Linkages Transmit Stress (Arbitrage Connections)Crypto Market Design: CEX Order Books Vs DEX AMMsSlippage As A User-Facing Risk MetricMEV, Transaction Ordering, And Sandwich AttacksPractical Mitigations: Slippage Limits And Safer Execution Choices