News organizations respond to Fed lockup questions

http://www.cnbc.com/id/101056168

by kitcar • 13 years ago

49 30 13 years ago

mesozoic• 13 years ago

Milliseconds

jere• 13 years ago

Working off of a list provided by the Fed of news organizations participating in last week's lock up, CNBC contacted each of the news organizations that offer low latency data services to ask whether they transmitted any data out of the Fed's lockup room. A key question is whether or not any organization transmitted information out of the lockup room and into its own computer system before 2 p.m. If that was done, the data could have been moved to computer servers near Chicago before 2 p.m. and publicly released the information from there at precisely 2 p.m. – enabling subscribers of that data service to get the information milliseconds before others in Chicago relying on transmissions from the Federal Reserve in Washington to arrive.

Sounds like the most reasonable explanation to me.

But of course I'm not 100% sure what a lock-up room is. It's being described as reporters restricted from speaking before 2pm. Obviously, that has nothing to do with millisecond precision.

http://www.cnbc.com/id/101056168

caf• 13 years ago

The CNBC article has more information: http://www.cnbc.com/id/101056168

It looks like there's plenty of opportunities for the information to leak out of the lock-up early - for example: Print reporters were told they were allowed to open a phone line to their editors at headquarters offices a few moments in advance of the hour, but not allowed to interact with people on the other end of the line until exactly two p.m.

A print reporter could prearrange to call one phone number at their office for "taper" and another for "no taper".

oofabz• 13 years ago

A reporter could also break the rules and stealthily send a text message.

conductor• 13 years ago

Or knock-knock a Morse code on the phone's mic.

tomnis• 13 years ago

milliseconds. only a few orders of magnitude off. fuck.

wmf• 13 years ago

Previous discussion of what appears to be the primary source: https://news.ycombinator.com/item?id=6417511

jauer• 13 years ago

There are several microwave radio networks built to link New York and Chicago for high-frequency trading purposes. These paths are several milliseconds shorter than the fiber paths and are a few years old at this point. The article should have mentioned this instead of jumping straight from fiber to neutrinos.

Some details: http://online.wsj.com/article/SB1000142405270230406570457742...

maaku• 13 years ago

There's a very simple solution: sub-cent prices. Eliminate much of the profit made by HFT.

rdl• 13 years ago

Wouldn't help for prices moved by news, like this.

Lerc2• 13 years ago

Quantize trades to 1 second intervals. Perhaps also allow any trade to be voided by either party in the following 1 second interval. Wait one second for assurance.

I have trouble seeing how implementing something like this would negatively impact upon any trading necessary to support the economy.

brador• 13 years ago

Could you use quantum mechanics to get around the speed of light limitation?

gonnakillme• 13 years ago

No[1].

[1] http://en.wikipedia.org/wiki/No-communication_theorem

stephengillie• 13 years ago

not yet

Fixed.

ballard3• 13 years ago

Correct. Information cannot travel FTL or causality would be mutable.

kristianp• 13 years ago

The article says 7 milliseconds, so this title is wrong.

slashcom• 13 years ago

I'll throw this out there: what if the clock in Chicago was just 5ms slower than the one in NYC. The logs would show the transactions happened at the same time, but they didn't.

The NYSE mandates that business clocks never drift more than 1s from the atomic clock [1]. What is the resolution guaranteed between the two clocks being compared? After all, it's impossible to guarantee perfect synchronization of two clocks at any distance (bounded by the speed of light and the drift rate of the clocks) [2].

The only retort I can think of is why do the other players react at the proper time.

[1] http://www.nyse.com/nysenotices/nyse/rule-changes/detail;jse...

[2] Cristian, F. (1989), "Probabilistic clock synchronization", Distributed Computing (Springer) 3 (3): 146–158

zb• 13 years ago

GPS receivers routinely provide sub 50ns (yes, nanosecond) accuracy on clock synchronisation. This is not a difficult problem.

ck2• 13 years ago

One more example of people who don't actually make anything, just making money off other people's work.

They allow this game of "being first" by milliseconds to make someone more money. Doesn't have to be that way, but they let it happen, so it says a lot about their mentality.

po• 13 years ago

So... this brings up a question... are trading orders 100% anonymous?

hrasyid2• 13 years ago

> In theory, the trading reaction should have begun in New York several milliseconds before it began in Chicago, because information takes several more milliseconds to travel the longer distance.

Just curious, how much difference could this "several milliseconds" have made?

dingaling• 13 years ago

Just curious, how much difference could this "several milliseconds" have made?

Most high-frequency trading systems could actually execute an entire tranche of selling in that epoch.

Consider the Hibernian Express fibre-optic link from NY to London, commissioned this year. A quarter of a billion dollars spent to shave 6 milliseconds off the transit time.

001sky• 13 years ago

A quarter of a billion dollars spent to shave 6 milliseconds off the transit time.

Price of front running.

krexit• 13 years ago

The article stated that as much as 600 million USD in trades were made in that 7ms window. The S&P 500 rose 1.2% as a result of the announcement, giving an essentially riskless gross profit of around 7.2 million USD, if one were to buy before and sell after.

hrasyid2• 13 years ago

it rose 1.2% in 7ms?

hownottowrite• 13 years ago

Nice background on low latency news feeds: http://hartmannluggagenews.blogspot.com/2012/01/trade-news-p...

abbazabba• 13 years ago

the how is interesting. the why, moreso.

"By one estimate, as much as $600 million dollars in assets changed hands in the milliseconds before most other traders in Chicago could learn of the Fed's September surprise"

whoever leaked it probably had a connection that gave them an incentive greater than their career or any fines the government could impose.

career reputation + fines < %cut of income from arbitrage

News organizations respond to Fed lockup questions

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