OK, some background, though you probably don’t need it:
- Questions were raised last week about the release of the FOMC announcement and perhaps some traders getting it early
- The Fed is investigating
- Here’s the procedures for the release
Reports (FT – gated) now that Virtu Financial (a high-frequency trading firm) are saying that “the information was not obtained unfairly by traders, but that it was possibly disseminated a millisecond before it should have been”
- Virtu criticises the Nanex report (which raised the initial concerns) as “severely flawed” and questions the timestamps of trades it uses
- Says the signal carrying the information left Washington slightly before 2pm … “perhaps under a millisecond before 2pm”
- Says the slightly early release was most likely due to “clock skew” or minute differences in the synchronisation of time by the different organisations releasing the information
I don’t imagine we are anywhere near hearing the end of this
