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 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
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