Live data from Hacker News

Someone got the natural gas report 400 ms early

nanex.net

121–130 of 291 posts

Re: Someone got the natural gas report 400 ms early

#121

What is the benefit of trading over ms resolutions. What problem is it solving? Wouldn't trade be more efficient if it were lock stepped - say one trade per hour (per day?): you agree your trade and the exchange processes it on the hour. What would be lost that benefits the pseudo-capitalism of these systems by having such a regime. How would this negatively impact production.

There are in fact places where the exchange processes trades once per hour. They are called "Call markets". Their disadvantage is trades only take place once per hour.

http://www.investopedia.com/exam-guide/cfa-level-1/securitie...

Re: Someone got the natural gas report 400 ms early

#122
post #117

Earlier quoted context omitted.

By parsing this JSON file http://ir.eia.gov/ngs/wngsr.json

Do they hammer the webserver for this? Is the JSON pushed somehwere? I'm in Europe, so numbers are probably too high, but httping results for the file suggest this is not how it's done: % httping http://ir.eia.gov/ngs/wngsr.json PING ir.eia.gov:80 (http://ir.eia.gov/ngs/wngsr.json): connected to 205.254.135.25:80 (286 bytes), seq=0 time=459.92 ms connected to 205.254.135.25:80 (286 bytes), seq=1 time=230.15 ms connec…

HFT traders are actually physically positioning their systems to be as unhindered by physics as possible. They likely have servers in DC just to check ir.eia.gov, and definitely have servers at (or as near as possible) to the exchange on direct lines with trading systems.

Re: Someone got the natural gas report 400 ms early

#123
post #55
post #39

Earlier quoted context omitted.

How can you read this chart, and infer from it that the activity is due to having already read the report? Surely everyone knew that the report would be released at 10:30, and they had strategies (or hedged positions) that were not as likely to be influenced by the contents of the report as by the market forces surrounding their orders?

I'm not, I'm not certain of that at all.

I don't have any idea, I don't want to sound snarky,

I read the headline and jumped to the same conclusions as everyone else. Jumped on Twitter and re-tweeted, all I had to say was "incredible"

After having some time to think about it, all I can say is...

Can you imagine how many people would be fired already if their dots were 5 seconds on the wrong side of 10:30, instead of being 400ms early?

Re: Someone got the natural gas report 400 ms early

#124
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.

You mean the people trying to shaft the other people would cancel each other out and the ACTUAL larger market trends would work themselves out over the long run?

WHAT A SHAME!

Re: Someone got the natural gas report 400 ms early

#125
post #119

This has nothing to do with the main subject matter of the article but those graphs are almost unintelligible. I didn't even try to decode what they were trying to communicate.

As someone who works in finance (the intended audience) they make perfect sense.

Re: Someone got the natural gas report 400 ms early

#126

Earlier quoted context omitted.

I think that's exactly the point. So the whole world gets to trade after they've digested the news, not the guy with the fastest computer or the shortest wire to the exchange.

And why exactly shouldn't the guy who's invested in the best hardware have an edge? Should perhaps we also mandate that all software engineers use exactly the same 2004-era Acer Pentium 4 laptop so that any difference in productivity is strictly due to programming skills?

Because the purpose of the stock market is not to give the guy with the best hardware an "edge".

Re: Someone got the natural gas report 400 ms early

#127
post #114
post #95

Earlier quoted context omitted.

I was once like you, young and innocent :)

Then you took an arrow to the knee?

Please try to keep comments constructive on Hacker News. Memes and other forms of joke regurgitation don't really fit in here.

Re: Someone got the natural gas report 400 ms early

#128
post #119

This has nothing to do with the main subject matter of the article but those graphs are almost unintelligible. I didn't even try to decode what they were trying to communicate.

The graphs are brilliantly clear to me, but I have a background in electronic derivatives trading and so am used to staring at wiggling psychedelic surfaces for hours on end. Nanex's audience is algorithmic securities traders. Imagine trying to explain a circuit diagramme to a room of uninitiated economists ("is there a reason the wire goes all squiggly right there?").

Re: Someone got the natural gas report 400 ms early

#129
God says...

32:28 For they are a nation void of counsel, neither is there any understanding in them.

32:29 O that they were wise, that they understood this, that they would consider their latter end! 32:30 How should one chase a thousand, and two put ten thousand to flight, except their Rock had sold them, and the LORD had shut them up? 32:31 For their rock is not as our Rock, even our enemies themselves being judges.

32:32 For their vine is of the vine of Sodom, and of the fields of Gomorrah: their grapes are grapes of gall, their clusters are bitter: 32:33 Their wine is the poison of dragons, and the cruel venom of asps.

32:34 Is not this laid up in store with me, and sealed up among my treasures? 32:35 To me belongeth vengeance and recompence; their foot shall slide in due time: for the day of their calamity is at hand, and the things that shall come upon them make haste.

----

God says... late Oklahoma ornamenting resisteth answered deferring cogo you're_nuts -Thou avail division fifth variously forbadest Knowing forceth knee fed flash I_got_your_back basically doors pay wit Royalties cursing poison condemned fifty-sixth babes livelihood discoverable Had ingrated discoverest -not exists reap beggar hereunto enabled usefully greatest finally balls begat half-divided life nill weal raged soul-sick

Re: Someone got the natural gas report 400 ms early

#130
post #51
post #35

Earlier quoted context omitted.

Which begs the question of whether it was accidentally early. It may well be that the 'early' trader knew they weren't the only one with early access to the data and intentionally set their trades to be a tiny bit early, to increase their chances of getting out ahead of the people who schedule their trades for just-after the scheduled announcement. Which may well indicate a larger problem than one guy with a tip.

Couldn't it also just be clock skew on a host or local datacenter which set off a chain reaction? I mean, I know that traders are probably pretty anal about accurate clocks, but mistakes do happen.

> "mistakes do happen."

Absolutely. I'm just saying there isn't much justification to assume it was a mere mistake.

Particularly given the trades that show up just after the report was released, but before a person could conceivably process them and initiate the relevant strategy.

That alone suggests gamesmanship, even if the "early" trader went earlier than he meant to.

Post reply on HN