Back on Monday, following the huge miss in the Manufacturing ISM, in collaboration with Nanex, we exposed yet another instance of blatant headline data frontrunning in “15 Milliseconds Of HFT Fame: Watch Today’s Early Leak Of The ISM Print” where we showed aggressive trading amounting to tens of millions in notional contracts ahead of the 10am release of the key economic indicator.
We assumed that just like every other lament about a market that is front-run by those “who have the means”, manipulated (by the Fed of course – remember when that was just a conspiracy theory: good times) and simply broken, it would disappear in the ether forever. After all: why bring attention to facts when hopium is sufficient for the E-Trade baby to retire rich and famous before it has hit 2. (Read more…) were delighted to learn that CNBC’s Eamon Javers picked up the torch and actually did some further investigating, which in turn led to an actual admission out of Reuters that it “inadvertently” sent out the data to “a select group of high frequency traders, many of whom immediately traded on the information before it was available to the wider market, CNBC has learned.” Inadvertently? The humor just never stops.
More from Javers:
ISM, which puts out the data, told CNBC on Monday that it believed the data was not released early over its normal distribution method, PR Newswire. In a statement, ISM senior Associate Rose Marie Goupil said, “ISM’s data was not released early today, nor is it ever released before 10:00 a.m. eastern time.”
But ISM also explained that in 2012, ISM entered into an exclusive agreement with Thomson Reuters to offer “a low latency economic data feed of the data.” This super-high speed computerized service, ISM said, included just the data contained in the report and not its full text, which makes it easier for computer trading programs to process the data quickly. “This feed,” ISM wrote, “offers subscriptions to low-latency programmatic traders worldwide who have the proper equipment and trading algorithms.”
Thomson Reuters is a news service that calls itself “the world’s leading source of intelligent information for businesses and professionals.” On Wednesday, Thomson Reuters released a statement to CNBC confirming that it had, in fact, released the data early. “We have identified that there was a minor clock synchronization issue Monday causing this data to be released 15 milliseconds early,” the firm said in statement. “We are taking measures to minimize clock synchronization issues in order to ensure that release of the data is as close as possible to the official release time of 10am ET.” Thomson Reuters said that the manufacturing data is just one of more than 1,300 economic indicators available on its high speed news feed direct service. The firm said it would not disclose how much it pays ISM for early access to the data or what it charges subscribers for its high-speed service.
A source familiar with the situation characterized Monday’s incident as a “minor, isolated, clock synchronization issue,” and said Thomson Reuters is “taking measures to make sure that synchronization is completely up to speed in the future.”
Well, they apologized. Almost. And anyway, it is two days later now. So what difference does it make!
And for those who wish to see the charts, here they are again:
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.
[VIA Zero Hedge]