Nanex ~ 28-Feb-2013 ~ The Chicago PMI Trading Frenzy
Bloomberg, the Chicago PMI numbers are released at 9:45:00
ET. For a fee, you can elect to receive the data 3 minutes earlier, and according to our data, those that do, are a powerful force in the market. The charts below show trades
for all NMS stocks priced below
$200 (about 7,800) over a 5 second period. The first chart shows data between 9:41:58 and 9:42:03. The second chart shows data between 9:44:58 and 9:45:03. Note the explosion of activity at 9:42:00 (actually, it appears to start a few millseconds early), and no noticeable change in activity after the rest of the worlds gets the same information.
Chicago PMI News Release uncovers significant delays in OPRA 06/30/2011
The impact of news on algos vs humans couldn't get much clearer than these 2 charts.
1. NMS Stock trades priced below $200 color coded by exchange.
2. Same data as chart, but exactly 3 minutes later.