Nanex Research

Nanex ~ 17-May-2013 ~ Michigan Consumer Sentiment

The release of Michigan Consumer Sentiment on May 17, 2013 came 25 milliseconds earlier than expected. Reuters releases this number at 9:54:58 (we covered this here) to an elite group of High Frequency Traders. Except on May 17, we noticed the market reacted 25 milliseconds earlier than expected. Also, by comparing the reaction in SPY traded in NYC to the reaction in the eMini traded in Chicago, we can conclude this number is probably released in New York rather than New York and Chicago simultaneously.

1. SPY Trades color coded by reporting exchange.
The Consumer Sentiment news is already priced in by the time the second tier gets it at 9:55:00.

2. Zooming in on the 9:54:58 time period showing SPY, ES futures and IWM.
The first 3 charts show 1 second of time, the last 3 charts show just 100 milliseconds of time.


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