6 ms·
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
by lrm242 14y ago
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 references synchronize. It would lend credibility to their hypotheses if they either provided their own reference or provided some measure of margin of error to the timestamps they so heavily rely upon.
For example, if Nanex had stated that they measured the time of release and the time of trades themselves as they appeared in CQS as observed from their machines then they could make a much more concrete statement as to whether: (a) the report was "early" or (b) the trades were "early" relative to one another. Most likely they would observe that the report appeared "early" as measured to their system clock (or possibly some other reference), but the trades did not appear before the report. Of course, Nanex would be smart enough to account for transit latency and other what-not.
- bvcqw 14y agoI was once like you, young and innocent :)
- bvcqw 14y agoFor some perspective, checkout GOOG's intraday movement between 2006-2009. It was the trader's dream come true.
- tjic 14y agoThen you took an arrow to the knee?
- ZoFreX 14y agoPlease try to keep comments constructive on Hacker News. Memes and other forms of joke regurgitation don't really fit in here.
- Tichy 14y agoThis 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.
- andrewflnr 14y agoThen 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.
- Tichy 14y agoI am not universally interested in all memes, but I liked this particular one. Also, it isn't content-free, it exists for a reason.
- jQueryIsAwesome 14y agoWith a very corrupted definition of "usable".
- mbell 14y agoThere are clearly 2 spiking in trading, 400ms apart, skew between the CGS and EIA systems doesn't explain that.
- apaprocki 14y agoIt's just an algo designed to run before the release.. see my post below.
- nitrogen 14y agoSince Hacker News uses a dynamic sorting algorithm for comments, "below" can quickly become "above". It's best to just say something with a link, like, "See my post elsewhere in this thread (https://news.ycombinator.com/item?id=5147300 https://news.ycombinator.com/item?id=5147300)."
- JumpCrisscross 14y agoThe 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. spacing between events is preserved). Instead, we see a signal within each dataset and symmetry between them. It could still be a data aberration, but that would implicate the CME and NYSE of having irregular clocks, a far more serious problem than some twat front-running a government report. Most likely is that this is a real trading signal, but not one based on insider information.
- lrm242 14y agoRelative timestamps between venues don't matter. More importantly, using timestamps without a common reference point makes it impossible to assert what happened first, because the absolute value of the timestamp does not matter. What matters is what "really" happened first. Of course, everyone's view of "first" can differ, but that's a different issue. 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.
- niggler 14y ago"(a) can be accomplished by Nanex, if they so choose." Doing so doesn't give them a sensationalist headline that finds its way to the top of HN.