Subject: File No. Equity Market Structure 2013
From: Sal Arnuk
Affiliation: Themis Trading

November 4, 2013

Dear SEC Staff,

We enjoy your market structure website, and thank you for providing it.

We are trying to examine in greater detail the issues surrounding excessive order and cancellation entry in our markets. In one of your research pieces,, you examine stocks and ETP order entry/cancellation data by volume. You state that using volume eliminates some problems that would result from looking at order entry/cancellation data not by volume.

However, looking at this metric by volume may also skew the data and conclusion. For example, a large investor order of perhaps 50,000 shares, averaged in with a typical HFT market maker order of between 50-100 shares potentially can dilute examination of this issue.

Is it possible to kindly provide the order entry cancellation data not by volume? Some of us would like to examine those statistics.


Themis Trading Staff