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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

#231

Post by jdietrich »

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…

The HFT boys are creating vast amounts of liquidity and squeezing the spread down to unprecedented lows. The volatility created by their trading is essentially invisible to a retail investor who observes the markets day-to-day rather than minute-to-minute.

It seems to me that people are fixated on volume, which is essentially an irrelevant figure - holding a big position for a couple of milliseconds has no meaningful impact on anyone but other HFTs. If we smooth our data to a resolution of minutes rather than milliseconds, market behaviour looks no different today than a decade ago. Even a supposed disaster like the "flash crash" of 2010 corrected itself within five minutes.

I'd be curious to see if the same debates were happening when computerised trading was first introduced. The magnitude of change was far greater, but there's broad consensus that computerisation led to fairer and more efficient markets. I just don't understand how faster trades can be bad in and of themselves. If your objection is to speculation in principle, then by all means argue for a Tobin tax; I just don't see why it matters very much whether that speculation occurs over the course of days, hours, minutes or milliseconds.

Re: Someone got the natural gas report 400 ms early

#232

Post by sseveran »

duaneb wrote: post #210
ig1 wrote: post #201

Earlier quoted context omitted.

Network syncing time is hard, my team (at a bank) built our own infrastructure to monitor time sync errors on our own internal servers, we synced externally with two independent clocks. An atomic clock in London and NIST in the US. But we also modelled the exchange's time as well. We had six independent connections to the exchange (hitting different servers) and we'd reverse engineered the exchanges internal infrastr…

> This stuff is hard, you need to know a lot about network latency and time to make sure you're doing it right (have a look at the NTP spec for starters), there's probably only a handful of people in the world who are capable of nailing it and probably most of them work in the military or atomic physics research labs. Funnily enough, Google appeared to have made it work well enough for a distributed database: http://…

Google doesn't necessarily need nano second or sub nano second resolution.

Re: Someone got the natural gas report 400 ms early

#233

Post by prostoalex »

runT1ME wrote: post #173
lifeisstillgood wrote: post #157

Earlier quoted context omitted.

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've been wondering if an exchange that prevented HFT would prosper in the current climate. I'm sure that plenty of companies aren't a fan of their market cap being at the whim of an algorithm and the large number of swings it would undergo. Wouldn't they prefer an exchange that offered liquidity in minutes or even hours, opposed to fractions of a second?

What is your definition of H though? If someone decides to offer a large block of shares for sale, and they break it into 100 lots, are they a high-frequency trader under this definition? What if it's 10,000 lots? 10,000,000?

This is a data structure problem at its core - the fact that someone entered one billion BUY orders at $15.51 should not prevent me from seeing that there's an outstanding order at $15.52. The stock market employs the queue only for legacy reasons.

Re: Someone got the natural gas report 400 ms early

#234

Post by tazzy531 »

javert wrote: post #155
analog wrote: post #134

Earlier quoted context omitted.

So news organizations get this financially sensitive information before traders? Seems an almost too obvious way to make a quick buck.

Outsider here, but I can't think of a good reason to give this info to news people before traders, and as the parent said, there are obvious bad reasons.

Much of the news ia a facade. Reporters often get things like economic numbers and speeches prior to the event.

Things like the State of the Union Address and candidate speeches are usually provided to the press beforehand so that they can package together a story. Next time you watch a major political speech, listen to the pundits prior to the speech. They will talk about all the things that the candidates are about to say.

With regards to economic numbers, there's very good reasons for them to do it this way (pre-released to media and embargoed). If it is not pre-released, reporters will need to take time to report the numbers which gives certain people an advantage.

For example, if you're monitoring Bloomberg for the CPI and the reporter is a slow typer, a person monitoring Reuters would have an advantage over you. Secondly, this forces a situation where reporters are in a hurry to get the numbers out which could potentially lead to errors. With these types of numbers, an error could have impact of billions of dollars in trades.

Re: Someone got the natural gas report 400 ms early

#236

Post by davidmr »

jcromartie wrote: post #122
nisa wrote: post #117

Earlier quoted context omitted.

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.

I'd be shocked if anybody big was doing that. There are news agencies (Reuters, Bloomberg, etc.) that get the reports early and sell exchange-quality news feeds. People subscribe to those news feeds, and at the appointed time, messages go out to the subscribers.

Re: Someone got the natural gas report 400 ms early

#239

Post by duaneb »

sseveran wrote: post #232
duaneb wrote: post #210

Earlier quoted context omitted.

> This stuff is hard, you need to know a lot about network latency and time to make sure you're doing it right (have a look at the NTP spec for starters), there's probably only a handful of people in the world who are capable of nailing it and probably most of them work in the military or atomic physics research labs. Funnily enough, Google appeared to have made it work well enough for a distributed database: http://…

Google doesn't necessarily need nano second or sub nano second resolution.

True.

Re: Someone got the natural gas report 400 ms early

#240

Post by mistermann »

jdietrich wrote: post #231
lifeisstillgood wrote: post #157

Earlier quoted context omitted.

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…

The HFT boys are creating vast amounts of liquidity and squeezing the spread down to unprecedented lows. The volatility created by their trading is essentially invisible to a retail investor who observes the markets day-to-day rather than minute-to-minute. It seems to me that people are fixated on volume, which is essentially an irrelevant figure - holding a big position for a couple of milliseconds has no meaningful…

If a flash crash triggers a stop loss order and I lose my position in a stock, would that be considered relevant?
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