15 Milliseconds Of HFT Fame: Watch Today's Early Leak Of The ISM Print

Tyler Durden's picture

Worried that manipulated official data is the only thing one has to "predict" on a day to day basis in a world drenched with "Baffle with BS", where China expanding and contracting at the same time is perfectly normal, and where Chicago PMI soaring by an 8 sigma beat to multi year highs precedes by one day the lowest US manufacturing print in 4 years? Turns out that's not all - in addition to everything else, one should also realize that key market moving data continues to be disseminated ahead of its official release time to those who have the "funds" and the interest in trading on early leaks. Take today's key economic data point: the Manufacturing ISM. As Nanex shows, trading in SPY exploded at 09:59:59.985, which is 15 milliseconds before the ISM's Manufacturing number released at 10:00:00. Activity in the eMini (traded in Chicago), exploded at 09:59:59.992, which is 8 milliseconds before the news release, but 7 milliseconds after SPY.

Surely someone decided to perform a massive headfake and like a plunging goaltender during a penalty kick just happened to guess the direction right. That, or the clock on the CQS tape is just a little off. Oh, and this is merely today's example of early distribution of data to those who have the means(and the funds) to trade on it. Everyone else - well, the saying involving a sucker, a poker table and confusion, is quite applicable right now...

From Nanex:

Note how SPY and the eMini traded within a millisecond for the Consumer Confidence release last week, but the eMini lagged SPY by about 7 milliseconds for the ISM Manufacturing release. The simultaneous trading on Consumer Confidence is probably because that number is released at the same time in both NYC and Chicago, whereas the ISM Manufacturing number is released in NYC, and then takes 5-7 milliseconds, due to the speed of light, to reach Chicago. Either the clock used to release the ISM number was 15 milliseconds fast, or someone (correctly) jumped the gun.

1. SPY trades color coded by exchange and NBBO. Chart shows 150 milliseconds of time.


2. ES June 2013 Futures (eMini) trades and quote spread. Chart shows 150 milliseconds of time.


3. SPY trades color coded by exchange and NBBO. Zoom-out of Chart 1. Chart shows 1 second of time.


4. ES June 2013 Futures (eMini) trades and quote spread. Zoom-out of Chart 2. Chart shows 1 second of time.

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TeMpTeK's picture

Congressional brokers ...who else?

sunaJ's picture

So much greed, theft, manipulation and dishonesty...


Fear not, the 2013 Bilderberg Group will sort out all of these "contradictions" in their conference - one corruption to rule them all.  Remember, you are still free to do as they tell you.


Bilderberg 2013 Theme: "The Fraud Must Go On: How to manage numerous cases of corruption and criminal conspiracy without rocking the boat of the other 0.6 percenters."

j0nx's picture

What's 15ms between friends?

Motorhead's picture

Which goes to show once again that the US has the most transparent market(s) in the world.  Now excuse me while I look to see how gold and silver are trading....

Ham-bone's picture

Fraud, Criminality, Deception = BULLISH*

* = what passes for upward stawk direction ain't exactly the fundamentals one may have once been trained to look for...it's come down to join us in our fraud or be destroyed by our fraud (or likely both).  Your choice.

q99x2's picture

Damn I have to forgo my nap to buy at the close ahead of FRAUD Tuesday. I wanted to take it easy today. Maybe I'll just buy now and say Fuck it.

Barry McBear's picture

This shit's been going on forever, thanks to ZH and Nanex for giving it some attention at least.  Maybe in a few years the SEC will look in to it.

Dr. Engali's picture

That must be an eternity to a robot. A lot can happen in 15 milliseconds.

orangegeek's picture

Maybe after Eric Holder gets charged with perjury, he can put some time aside and help to deal with the HFT firms.

DaddyO's picture

Pffftt, nothing is going to happen to Herr Himmler, while Mein Furherr is at the helm....


MarsInScorpio's picture

Holder and Obama are co-dependent; they need each other to stay out of prison.


RSloane's picture

Did he say plunging goal tender or plunging goat lender?

Yen Cross's picture

   The Fed.  (Early Release List), edited by a certain WSJ puppet. Hilsenrath, Hilsenrath, Hilsenrath...?

    "Gone in one second". You have to love the outside probing action. "Quote Searching", for orders that will never get filled.

medium giraffe's picture

Looks like a job for CSI.

Tombstone's picture

How the big money gets bigger...sometimes they have to cheat or perhaps it is all a matter of smart luck.

EclecticParrot's picture

I don't see what the big deal is -- isn't this like a false start in a track meet?  The perpetrator will CERTAINLY be disqualified, and life goes on, no?   Ah, um . . . oops ... wait a minute . . .     ("wait for the gun, son")

asteroids's picture

Since the "market" is so huge these days. All it takes is one mistake, one tiny slip, and boom....