Was the Fed’s No-Taper Announcement Leaked to Wall Street?
Chicago-area research and analysis firm Nanex is the creator and developer of a high-performance ticker plant called NxCore, software that monitors pretty much every single trade made on the open market, from equities to options, in real time, down to the millisecond. NxCore is used by a variety of active traders and researchers as a means to get a complete picture of market information.
But besides developing and marketing NxCore, the firm wears the hat of a watchdog, monitoring trading activity, identifying suspicious activity, and reporting that activity to the media. In June, Nanex spotted something strange, and did its thing. The firm reported to CNBC that it suspected data from the ISM Manufacturing Report on Business was released a fraction of a second — about 15 milliseconds — too early. The data from the report were transmitted from Thomson Reuters to various high-frequency, algorithm-based traders who were able to act on the data before anybody else.
At a glance, 15 milliseconds may not seem like a lot. It is certainly an inconsequential amount of time for most day traders and retail investors. For some context, the average time it takes a human to complete a blink is about 300 milliseconds, or three-tenths of a second.
However, in the world of high-speed trading, 15 milliseconds — even just 1 millisecond or 2 milliseconds — is all it takes to make or lose millions.