Hacker News Board Hacker News, browsed like a classic message board
Live data from Hacker News

Someone got the natural gas report 400 ms early

nanex.net

Post reply on HN
Print view View original

161–170 of 291 posts

Re: Someone got the natural gas report 400 ms early

#161

Post by haberman »

swalsh wrote: post #36
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.

400 ms is an eternity of time. I can't imagine they'd be off by that much.

Not disagreeing with you, but wanted to mention that I recently learned that quartz clocks typically drift half a second PER DAY, which was shocking to me. This seems to imply that computers are subject to the same drift unless they are syncing via NTP many times a day.

Re: Someone got the natural gas report 400 ms early

#162

Post by andrewflnr »

Tichy wrote: post #143
tjic wrote: post #114

Earlier quoted context omitted.

Then you took an arrow to the knee?

This is the first time I heard about that meme, which means your comment contained the most usable information I gained across all comments in this thread.

Then you will probably find knowyourmeme.com to be educational and edifying ;). HN, however, is not usually where I want to find out about these things, especially when they're so wholly tangential.

Re: Someone got the natural gas report 400 ms early

#163

Post by noname123 »

apaprocki wrote: post #104

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…

Commodity futures is not my specialty but I looked into the lagging quotes from leveraged natural gas ETFs and from natural gas producers.

It's well known that tracking index for gold (GLD) correlates to the tracking index of gold producers (GDX) and they diverge and converge. People would do pair-trading on GLD-GDX pairs to bet on convergence.

Given that there's a binary catalyst event for natural gas, I wonder if there's a viable strategy to identify the thinly traded natural gas producers and exploit the stale quotes by market-makers (if the laggards are not responding as actively as the more liquid traded natural gas companies like CHK).

On the other side, I wonder if in a highly volatile event where a lot of punters would bid up leveraged natural gas ETF (GASL) above its intrinsic value, and you can take the other side of that trade and hedge with more liquidly traded UNG or FCX options or futures market. Just food for thought.

EDIT: Also I wonder if there's a spread between IV in UNG options and in the futures market to do a calendar or ratio spread.

Re: Someone got the natural gas report 400 ms early

#164

Post by dclowd9901 »

benpbenp wrote: post #160

A fun thought experiment. Suppose someone invents a time machine that gives the correct price of all securities at all future points in time. 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…

I'll bite.

Chances are, the existence of a perfect trader would cause enormous shifts in how a market handles trading. This trader would, by default, be barred from trading, because her influence on the market would be staggering to the effect that it would influence the market itself. Even Warren Buffet has to temper things he says, so as not to accidentally push the market around.

But, assuming the FTC just decided to take a nap on the whole thing, I imagine those shifts in trading would so quickly dilute value that you'd end up with a system very similar to one we see now: machines doing the majority of the trading, but rather than on algorithms, more on observing Perfect Trader X.

Re: Someone got the natural gas report 400 ms early

#165

Post by josh2600 »

lifeisstillgood wrote: post #157
apaprocki wrote: post #104

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…

At what point will HFT drive out the proper functioning of a Market? 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 th…

I think that HFT is responsible for over 70% of the volume on the major exchanges these days. Very little of what happens on the exchanges anymore is directly attributable to long positions.

I'm not sure how current this is, but the average time a stock is held is roughly 20 seconds [1] and that's definitely not long-term value investing.

I think we're already a long ways away from Kansas Dorothy, and I don't think we'll be going back any time soon.

[1]http://seekingalpha.com/currents/post/110468

Re: Someone got the natural gas report 400 ms early

#166

Post by cgmorton »

benpbenp wrote: post #160

A fun thought experiment. Suppose someone invents a time machine that gives the correct price of all securities at all future points in time. 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…

They wouldn't even need to trade securities. Just search the future data for some successful tech IPOs and then invest in those companies early and heavily. Returns would be fantastic, and the risk of feedback from your future-influenced actions would be much lower.

Re: Someone got the natural gas report 400 ms early

#167

Post by ig1 »

analog wrote: post #134
tazzy531 wrote: post #65

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.

Yes, but they have strong motivation not to abuse it. I've seen one case where an news org broke an embargo due to fat fingering a release, that news org lost early access privileges for a year as did every sister company that belonged to the same news group.

If you specialize in financial news losing numbers is a huge deal, you'll lose thousands of customers over it. And when those customers are often $1000/month subscribers it can easily mean a financial loss of tens of millions of dollars.

Within news organizations the information is typically restricted to 1-2 named individuals who have restrictions on trading. If they leak the information they can generally be criminally prosecuted.

Re: Someone got the natural gas report 400 ms early

#169

Post by ig1 »

JumpCrisscross wrote: post #146
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…

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.…

I've seen exchanges screw up clock time more often than I care to remember, often for the stupidest reason. I once had an exchange claim it was "due to a roofing contractor accidentally interfering with the satellite used to get a GPS time signal".

Re: Someone got the natural gas report 400 ms early

#170

Post by ZachPruckowski »

benpbenp wrote: post #160

A fun thought experiment. Suppose someone invents a time machine that gives the correct price of all securities at all future points in time. 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…

On 3, I think it depends on your time-travel rules. Because the first thing that would happen is that people would flock to retool to produce the higher value commodities (if corn price > wheat price, people would stop making wheat and start making corn), causing a supply glut and price collapse.
Post reply on HN