Someone received a natural gas report 400 milliseconds earlier

Yesterday, a small but very interesting anomaly occurred on American exchanges, which was quickly reported by the analytical company Nanex Research.

On January 31, 2013, about 400 milliseconds before the official publication of the weekly report on natural gas reserves , trading activity on natural gas futures and units of index funds such as UGZ, UNG and BOIL increased sharply.

The report was published at 10:30:00. The chart above shows the trading activity of the UGZ Index Fund in the interval from 10:29:59 to 10:30:02, with official transaction timestamps from different exchanges.

Federal services officially announced that they did not consider it necessary to punish people who learned the news a few milliseconds earlier than others. In other words, there is no evidence of a crime. And indeed there is no evidence of such a leak: you never know for what reason traders started activity 400 milliseconds before the event.

Perhaps officials still do not realize the time scale in which modern trading systems operate. As you can see from the graphs, the main trading in securities began 400 milliseconds before the publication of the report, and ended within a few seconds after publication. This is the period of time in which the program for high-frequency trading should receive a report, analyze the information and make a decision on trading activity.

It is also surprising that the federal agencies of the United States publish official documents accurate to the millisecond: this is also a non-trivial task: synchronize the time over the network with the remote server where the atomic clock is located, while taking into account the network delay.

Here are a few more charts from Nanex Research's post .