Nanex Research

Nanex ~ 28-Feb-2013 ~ The Chicago PMI Trading Frenzy

According to 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.

See also 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.

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