Ultra low latency: faster than the speed of light?
Posted by Jeff Wells on Thu, Dec 01, 2011
Overnight yesterday we saw massive coordinated intervention by the central banks that turbocharged the stock markets. The Dow finished up 490.05 points at 12,045.68. Oddly enough, the big moves really happened to prices before the market opened. So we didn’t see a massive spike on www.marketdatapeaks.com. However, I did look very carefully at the marketdatapeaks data to try and understand what was happening.
I noticed something that looks like someone might have broken the speed of light barrier or perhaps someone is getting official data a little quicker than anyone else?
The peak that drew my attention occurred at 9:41 am. It isn’t a breathtaking number at 4.92 million messages per second, but it does stand out compared to other parts of the morning.
I checked with Eric Hunsader from Nanex www.nanex.net. Eric is a very keen observer of market events. He pointed out that the Chicago PMI number is released at 9:42 am to premium customers. “At 9:41:53, Total Ask depth in the EMini futures (ES.Z11) sunk from around 10,000 to approx 3,500 contracts, then a buy order for about 1,500 contracts came in and cleared 5 levels (1.25 points). At the same time, about $70 million of SPY was bought, and the explosion of traffic resulted in trades printing ahead of quotes by a 100ms or so.
Usually, the PMI number is released to premium subscribers at 9:42:00 -- and in the past, we've seen someone get the jump on that by 1 or 2 seconds. Today it was 7 seconds.”
Thanks Eric. That is really insightful.
Here is www.marketdatapeaks.com from yesterday and it confirms a lot of activity just before 9:42am.
