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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

#91

Post by RockyMcNuts »

danielweber wrote: post #15

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.

True... it's not like there are a lot of rubes out there with orders 400ms before data is scheduled to be released, who aren't still going to be there 400ms later.

The question is who gets to do the fleecing of the rubes.

So if someone did figure out a way to play the system and get it a little early that's interesting... if someone on the inside is playing fast and loose to make sure the right people get first crack at any small orders that happen to have been left in the system, that's a problem.

But, yeah, it shouldn't be super big bucks at stake...beyond some small initial volume, anyone you're going to trade with is going to know what's up.

Re: Someone got the natural gas report 400 ms early

#92

Post by cube13 »

drawkbox wrote: post #33
kmfrk wrote: post #4

Earlier 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.

Small investors can only buy on bad news and long where applicable (i.e good company). Bad news and poor technical performance even if for a period is guaranteed almost to be driven down by HFT. And sometimes HFT over does it (maybe on purpose to let the suckers flood back in). I.e. Apple going to 430, Netflix to mid 50s after similar shorts/run ups and battle of machines. We all will be using HFT soon via proxy or a…

> Small investors can only buy on bad news and long where applicable (i.e good company). Bad news and poor technical performance even if for a period is guaranteed almost to be driven down by HFT. And sometimes HFT over does it (maybe on purpose to let the suckers flood back in). I.e. Apple going to 430, Netflix to mid 50s after similar shorts/run ups and battle of machines.

I think Apple's a weird case. They had a "down" quarter, which caused the tech analysts to go all crazy and claim that Apple's a sell. So that caused people to sell, which drove down the price, and dropping below 500 probably triggered a lot of people's stop loss strategies, which drove down the price even more...

Re: Someone got the natural gas report 400 ms early

#93

Post by jackalope »

nanex wrote: post #9
niggler wrote: post #2

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.

Honest question: How are timestamps different from any other user-supplied data? Is the timeline of events ever recorded using an unsynchronized clock for relative comparison?

Re: Someone got the natural gas report 400 ms early

#94

Post by sirclueless »

vannevar wrote: post #50
danielweber wrote: post #29

Earlier quoted context omitted.

I presume the report didn't just randomly come out at some random time. That is, everyone knew exactly when it was going to come out.

To the millisecond? I suppose it's possible. Even so, rumors drive spikes all the time. Someone could put out a false report, committing fraud in the reverse direction. I still doubt such a fraud could be detected at the time in any remotely reliable way.

The report is a government report, in machine-readable format, that is taken from a government server. If you wanted to put out a false report, you would have to hack the server or the connection to the server.

Re: Someone got the natural gas report 400 ms early

#95

Post by bvcqw »

lrm242 wrote: post #90

The most likely explanation: no one got anything early. Venue timestamps can often disagree by a significant amount. It is very likely that SIAC (distributors of CQS and CTS) simply are not well synced to the reference clocked used to distribute the report. Nanex spends a lot of time doing analysis based on precision timing without providing any sort of error analysis as to how well timestamps produced from different…

I was once like you, young and innocent :)

Re: Someone got the natural gas report 400 ms early

#98

Post by bvcqw »

bvcqw wrote: post #95
lrm242 wrote: post #90

The most likely explanation: no one got anything early. Venue timestamps can often disagree by a significant amount. It is very likely that SIAC (distributors of CQS and CTS) simply are not well synced to the reference clocked used to distribute the report. Nanex spends a lot of time doing analysis based on precision timing without providing any sort of error analysis as to how well timestamps produced from different…

I was once like you, young and innocent :)

For some perspective, checkout GOOG's intraday movement between 2006-2009. It was the trader's dream come true.

Re: Someone got the natural gas report 400 ms early

#99

Post by qdpb »

sirclueless wrote: post #96
maaku wrote: post #78

Earlier quoted context omitted.

If you knew this was coming, why didn't you close your orders?

Because the report isn't supposed to be available for another 400ms?

So we should just give everyone a couple of weeks to sort their systems out or go out of business, and problem will be solved?

Re: Someone got the natural gas report 400 ms early

#100

Post by jrockway »

bjourne wrote: post #86
jrockway wrote: post #42

Earlier quoted context omitted.

Will laws work? I imagine the big investment banks will just set up dark pools in countries with favorable laws and just trade there instead. Added benefit: no more taxes! The solution is to realize that high-frequency traders are playing a different game than you, even though they're on the same playing field. They do weird things but it's probably not hurting your returns. (It wasn't HFT that imploded the big banks…

Does money just grow on trees in the magic stock market? The amount of sustained non-bubble growth the stock market can generate is limited, not unbounded. It follows that if the HFT bots steals a slice of it, then the slice the regular gamblers get is smaller than it would otherwise have been.

They're already getting a slice. Look at any stock quote and notice that asks and bids are different amounts. That's where they get their money from: transactions, not growth. (Look up the expression "delta neutral".)

Is there a magic money tree? That involves a lot more economics classes than I took, so I won't even attempt to answer.

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