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Every sell is someone else's buy, and every buy is someone else's trade. If you saw a bunch of activity happening milliseconds before it should, why would you be the other party to someone you suspect is committing fraud? You will be the primary victim of the fraud.
Or someone got the report a few hours early, didn't want to be seen to jump the gun (insider trading, and all that) and kicked off a new trading strategy 400ms earlier than they intended...
and of course that also is only possible, when they know the exact time of when the news would go out. So that, they can time their activity just milliseconds before that, using tech.
After seeing some of their posts earlier and comparing it to live data I record at the colocations, I've concluded that they have clock issues which makes these types of anomalies appear frequently. Or they have a bad data vendor. Interestingly enough, even the regulators don't have good (only millisecond-resolution) trade data.
These are charted with CQS (official) timestamps. Try again.
More importantly, why wouldn't you invest in colocations and collect the data yourself using direct feeds (with GPS clock synchronization etc to validate the data)?
Those can only possibly be pre-programmed strategies. From the big boys. 'Cos you can't stack 'em exchange side last I checked, if they're price dependent. Which means they have a gloriously low-latency-close-to-the-exchange-link.
Which means this news was leaked well before the event.
Since it takes a while to digest the report after having seen it, chances are that they were in possession of the report far earlier than T-400ms but waited until they were in a time window where they knew the regulators would not come after them. This is how fortunes are made. By taking advantage of loopholes in the regulatory mechanism.
Or someone got the report a few hours early, didn't want to be seen to jump the gun (insider trading, and all that) and kicked off a new trading strategy 400ms earlier than they intended...
Earlier quoted context omitted.
These are charted with CQS (official) timestamps. Try again.
CQS has had issues in the past. You should know this. More importantly, why wouldn't you invest in colocations and collect the data yourself using direct feeds (with GPS clock synchronization etc to validate the data)?
If we can't solve this problem, with the rise of machine driven microtrading, is there really any reason to place any faith in the stock market as a private investor?
Every sell is someone else's buy, and every buy is someone else's trade. If you saw a bunch of activity happening milliseconds before it should, why would you be the other party to someone you suspect is committing fraud? You will be the primary victim of the fraud.
If you saw a bunch of activity happening milliseconds before it should, why would you be the other party to someone you suspect is committing fraud? If no such report had come out milliseconds later, the activity wouldn't be suspect. How could a person (or in this case, given the timeframe, an algorithm) possibly distinguish this spike from a 'legitimate' spike? It doesn't make sense to blame the victim of a fraud wh…
Every sell is someone else's buy, and every buy is someone else's trade. If you saw a bunch of activity happening milliseconds before it should, why would you be the other party to someone you suspect is committing fraud? You will be the primary victim of the fraud.
If the time that the report was due out was not known in advance, I could see this being suspicious. But just finding a flurry of activity at a time when you judge that it might have been prudent to wait and read the news first, that is not any evidence of illegal activity or fraud.
It is evidence that these day traders are getting more confident in the ability of their robots. That is true.
Rule # Evleventy Billion Six Hundred Thirty Eight: Look around the room and try to spot the sucker. If you can't find him...