"We risk becoming the best informed society that has ever died of ignorance"
- Rubén Blades

"You can't make up anything anymore. The world itself is a satire. All you're doing is recording it"
- Art Buchwald

"It's getting exciting now, two and one-half. Think of everything we've accomplished, man. Out these windows, we will view the collapse of financial history. One step closer to economic equilibrium"
- Tyler Durden

"It is your corrupt we claim. It is your evil that will be sought by us. With every breath, we shall hunt them down."
- Boondock Saints

Thursday, March 29, 2012

Disney Was Hit Before The News Of NEWS Corp.'s Competing Sports Station

The news release today regarding News Corp.'s plan to challenge Disney's ESPN with their own sports network hit the wire at 14:39:00 EST time.  At 14:38:27 DIS started to quote heavily.  Usually, Disney does not show up so I knew it was some news algo running once I saw my screen light up and pulled the Disney chart.  I wish you good luck, human.

These are the highlighted "high quote bursts" because they exceed a 10,000 quote threshold.  The NYSE sequence took the shortest to run, 3 seconds, while each of the other sequences ran for 5 seconds. 

  • 14:38:29 DIS - PACF exchange - 11,132 Quotes and 1,468 Trades
  • 14:38:30 DIS - NYSE exchange - 11,433 Quotes and 1,320 Trades
  • 14:38:32 DIS - BATS exchange - 15,656 Quotes and 1,702 Trades
  • 14:38:32 DIS - BATY exchange - 16,127 Quotes and 1,693 Trades
Here is what happened inside of that major candle drop:


Here we see a HFT Alert Pro graphic which chart the exchanges in which the 4 trades highlight above were identified on.



And that is how you latency-arbitrage a news release with your co-located, computer and algorithm driven, trading mechanism.
Posted by Paul Revere at 3/29/2012 12:35:00 AM