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Someone got the natural gas report 400 ms early

nanex.net

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Re: Someone got the natural gas report 400 ms early

#61

Post by tomguthrie »

jmix wrote: post #11

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.

> It is worth pointing out that the EIA Natural Gas Report comes out weekly (every Thursday at 10:30) and the market reacts within a few milliseconds. This is because the report centers on one number which makes it easy for machines to process and take action.

Re: Someone got the natural gas report 400 ms early

#62

Post by reso »

mixedbit wrote: post #20

I don't think that increased trading activity supports a conclusion that the report leaked. People may have anticipated increased trading after the rapport release and may have prepared algorithms to try to gain during this event. The algorithms may have started working before the release. I'm not saying this was actually the case, but my theory is as well supported as the claim in the post.

I even hazard that whether the report "leaked" or not is irrelevant. The really interesting thing here is that, in a world of algorithmic trading, being 400ms late to a party can cost millions of dollars.

Re: Someone got the natural gas report 400 ms early

#63

Post by CarlTheAwesome »

Maybe that news was published 400ms or even a little bit earlier. Such little difference human beings cannot notice. Those who trade early were those who utilized A.I. systems to watch and analyze the report and trade accordingly, 400ms is long enough for big expensive machines to accomplish that task. To add even more conspiracy into the story, you can imagine someone was paid to publish the report just about 400ms earlier than supposed to by those who use computers to trade, and not very many people will notice, or just like post said feds don't even think this matters.

Re: Someone got the natural gas report 400 ms early

#64

Post by peterwwillis »

arjn wrote: post #37

So is this evidence of insider-trading ? Why would they not prosecute or at least investigate ?

Somebody has to provide evidence (and, you know, a perpetrator) to a prosecutor first. But there's no real "investigation team", save maybe FINRA.

If FINRA detects something they can refer an investigation to the S.E.C. or other law enforcement body. But they don't exactly have a stellar track record. And nobody even has to listen to them; they just gather evidence and make recommendations. It's very much a dog with no teeth.

Re: Someone got the natural gas report 400 ms early

#65

Post by tazzy531 »

rikacomet wrote: post #10
smcl wrote: post #5

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.

For a lot of these economic numbers and earnings report, they are provided to news organizations prior to the announcement with instructions that the information cannot be released prior to a certain time.

So, for this example, that time was 10:30AM. The moment it hits that time, the reports get pushed out into the newswires and reported on-air.

This allows the reporters to digest the numbers and figure out how to report it.

Re: Someone got the natural gas report 400 ms early

#66

Post by petercooper »

It is worth pointing out that the EIA Natural Gas Report comes out weekly (every Thursday at 10:30) and the market reacts within a few milliseconds.

Since it's not the report producer's job for investors' computers to rapidly parse it, they should have some fun in phrasing and presenting the information in different ways each time. If nothing else, it could lead to an explosion in NLP and content parsing technology ;-)

Re: Someone got the natural gas report 400 ms early

#68

Post by willis77 »

petercooper wrote: post #66

It is worth pointing out that the EIA Natural Gas Report comes out weekly (every Thursday at 10:30) and the market reacts within a few milliseconds. Since it's not the report producer's job for investors' computers to rapidly parse it, they should have some fun in phrasing and presenting the information in different ways each time. If nothing else, it could lead to an explosion in NLP and content parsing technology ;…

Wingdings is suddenly relevant again.

Re: Someone got the natural gas report 400 ms early

#69

Post by madaxe »

niggler wrote: post #56
madaxe wrote: post #40

Earlier quoted context omitted.

You'd only stick algos to automatically sell at a given time if you were mad (as you'd act on a move, not a time) - and the down and half-up tick indicate straddles set around the position. This may have been a single rogue performing an initial sell, causing a drop which caused all the other pre-set strategies held by folks with very close to the exchange links to also sell, and then subsequently buy back to the mid…

Another HN user described this a long time ago: http://news.ycombinator.com/item?id=2828804

Yup. It's all about parsing FIX faster than the next dude.

Re: Someone got the natural gas report 400 ms early

#70

Post by gradys »

gamegoblin wrote: post #46
mildavw wrote: post #31

To make shenangins more obvious, what if 1 minute were the maximum resolution that any trade could happen? Say, every order gets a random number of seconds between 0 and 60 added to it before it is executed. Or even longer. What would happen if everyone gets 10 minutes to digest any news?

This sounds like the type of regulation that people outside of an industry put on the industry with good intentions but really no idea what the consequences would be. Consider a company who holds a press conference announcing something huge (either positive or negative). Anyone wanting to buy or sell in this tiny window pretty much gets shafted by such a system.

I know very little about finance, so treat this as a genuine question: what would be wrong with preventing people from buying or selling in such a tiny window? What would be the downside?
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