Why would trade relevant data be released while trading is open?
Seems like it could screw tons of people with open orders who can't react within seconds of new information.
Someone got the natural gas report 400 ms early
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Re: Someone got the natural gas report 400 ms early
#72Earlier quoted context omitted.
I don't know the way these reports are structured, but is it regular enough where there's even a possibility that a bot could digest, analyze, and act on the information there in near real time?
Think this all there is. You could definitely build a real time system. http://ir.eia.gov/ngs/ngs.html
Hell, they even release it in JSON: http://ir.eia.gov/ngs/wngsr.json
Re: Someone got the natural gas report 400 ms early
#73Earlier quoted context omitted.
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.
In some asset classes (e.g. equities) the exchanges and dealers have built their own proprietary protocols to reduce the excess bytes.
Re: Someone got the natural gas report 400 ms early
#74Why would trade relevant data be released while trading is open? Seems like it could screw tons of people with open orders who can't react within seconds of new information.
Well, depending on who is responsible for deciding when the data is released, you may have answered your own question.
Re: Someone got the natural gas report 400 ms early
#75It 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 ;…
Not as long as they are presenting it in JSON format.
Re: Someone got the natural gas report 400 ms early
#76Can someone explain what this means in practice. As in how much money did these people make or stand to make because of being 400ms early?
Re: Someone got the natural gas report 400 ms early
#77If 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?
You have to realize the distinction between trading and investing. Investing is putting money into something in the belief that over the long term, it will likely return enough money to be worth the opportunity cost and the risks involved. Trading is seeing a price difference between here and there (in 4 dimensional coordinates) and making money by moving the goods.
The stock market was created for investors, who by investing grow the economy as a whole, but it has been taken over by traders, who are helpful for greasing the wheels of the exchange but ultimately not necessary in anything like today's numbers. It would seem by competition for a commodity service they should start killing each other off but so far it seems there are still enough amateurs in the game to keep them well-fed.
So in short, make sure what you are doing is investing and not trading. Investing still pays off. Trading is like jumping into a tank full of robotic sharks.
Re: Someone got the natural gas report 400 ms early
#78Every 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.
Wouldn't the other party just be open orders?
If you knew this was coming, why didn't you close your orders?
Re: Someone got the natural gas report 400 ms early
#79Earlier quoted context omitted.
It's not like it's the only of our concerns: http://www.zerohedge.com/news/2013-01-18/did-tim-geithner-le... . I'd love a blog that explained how investing in stocks with all this irregularity can be done consistently well. I imagine it gets harder and harder. Just look at LIBOR.
I agree that corruption is the larger and possibly more pressing issue, but that doesn't seem to be what happened here. I could be wrong of course, but this seems like a technical flaw and not intentional.
Oh no. I definitely don't mean to imply that corruption was involved here.
Re: Someone got the natural gas report 400 ms early
#80Earlier quoted context omitted.
We could significantly alleviate the problem by limiting by law the trading frequency. Traders ultimately depend on the law to recognize the validity of their transactions. There is no value to society in high frequency trading. Mandating a full second in a market that operated quite well when slow-reacting humans conducted all the transactions should be more than sufficient.
trading fast isn't the problem. it's quotes being made with no intent to ever execute them. like someone at an auction making a bid and then saying "just kidding"
Some have suggested to charge a percentage of a cent on all these requests rather than banning or limiting the rate of transactions. Seems reasonable to me.