151–160 of 291 posts
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...
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…
The data are printed with the CME's and NYSE's official timestamps. It would not be unprecedented for the CME's timestamps to diverge from, say, the NYSE's. That would present itself as a consistent temporal dislocation between the CME and NYSE, but would be invisible within each data-set (sort of like your calendar putting itself into the wrong time-zone where - the times are off, but they're consistently off, i.e.…
Whether there is signal here or not wasn't my point. There may well could be. My point was simply that the analysis provided by Nanex is spurious without a definition of the timestamps, where they came from, and their relationship to known reference points. Taking three events with a timestamp from each of: CQS, CME, and an arbitrary point in time such as 10:30:00 and then asserting that events observed within a CQS or CME event stream happened "before" the arbitrary point in time, 10:30:00, is impossible.
Unless either (a) one observes CQS, CME, and the event scheduled for 10:30:00 from a known reference and accounts for all variables (differing transit latencies, etc) or (b) each of the generating events are known synchronized and the current state of that synchronization is observable (CQS lags CME by 475us, government event source leads CME by 1.2ms, etc). Clearing (b) is not happening today. (a) can be accomplished by Nanex, if they so choose.
Earlier quoted context omitted.
Interesting, so you are saying that Nanex is wrong about someone trading 400ms before the report?
To give an example of how this could happen (not saying this is what happened, but I've heard this happened before): Suppose you left ntpd running and automatically adjusting the clock every hour. If your clock is running faster than pool.ntp.org, and you are synchronizing to it, you may end up adjusting in the middle of an event. Because your clock is running fast, you would jump back in time, breaking the sequence…
However I can't remember where I read that and could be totally wrong.
What would happen if that crucial number was published as a riddle instead?
Earlier quoted context omitted.
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 re…
So news organizations get this financially sensitive information before traders? Seems an almost too obvious way to make a quick buck.
Earlier quoted context omitted.
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.
http://invezz.com/news/alternative-investments/625-uk-report... "Veteran traders would usually wait in anticipation for the weekly report of gas-inventory figures by the U.S. Energy Information Administration released on Thursday at 10.30 AM and then dive into the busiest trading window of the week. This is no longer true as most traders are now staying out of the market due to the HFTs new strategy - sending floods…
Have there been any studies on this? If human traders mostly reacted to "real" news (the Orange juice crop is bad this year) then human trading was mostly linked to actual changes that affect the price mechanism
But if large volumes of trades are speculative, or even worse, are directed at affecting the behaviour of other large Market players, is there not a point where the selling of actual OJ is just noise in the Market?
One can anticipate HFT bots acting like the strange Amazon pricing of obscure books in the millions of dollars, bots competing against bots to acquire more of the rent redistribution. If we can imagine that we can imagine a failed crop with prices being driven down in a frenzy.
Surely some research exists on this? Where is the price signal tipping point?
What would happen if that crucial number was published as a riddle instead?
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…
The data are printed with the CME's and NYSE's official timestamps. It would not be unprecedented for the CME's timestamps to diverge from, say, the NYSE's. That would present itself as a consistent temporal dislocation between the CME and NYSE, but would be invisible within each data-set (sort of like your calendar putting itself into the wrong time-zone where - the times are off, but they're consistently off, i.e.…
1) Would it be against current rules to trade on this information?
2) If someone did use this machine surreptitiously to their own gain, how quickly will they approach owning 100% of everything?
3) If the entire data set of future prices were made publicly available, what would happen to markets? I mean, exactly, what would happen to stock prices?