The 15-millisecond head start that led to $28 million in trades
Thomson Reuters is taking the heat for a glitch that on Monday (June 3) caused the US’s ISM manufacturing data to go out to high-frequency traders 15 milliseconds before it was supposed to.
Nanex LLC pointed out that trading in futures for the S&P 500 on June 3 exploded before the release was even supposed to have hit the tape–at 09:59:59.985. The release should have gone out at 10:00:00 on the dot.
ISM is short for Institute for Supply Management, the firm which compiles data from manufacturers. It normally distributes its data with PR Newswire, which publishes the ISM reports online. CNBC reports that ISM also inked a deal with Thomson Reuters, which wanted to distribute the data for “low-latency systems” (read: high-frequency trading networks).
If you’re a high-frequency trader, a few milliseconds is a big deal. And in this case, a 15-millisecond head-start meant that $28 million in shares traded hands before the number was even published, according to Nanex’s calculations. Algorithms positioned to trade on data within a split second immediately reacted to the news release. This would have put those traders receiving data from another provider–say, PR Newswire, which also releases the data–at a disadvantage.
The data also happened to be particularly important. Monday’s ISM report showed the weakest level of general manufacturing activity since June 2009.
http://qz.com/91242/the-15-millisecond-head-start-that-led-to-28-million-in-trades/
Un-freakin-believable!
= new reply since forum marked as read
