Millisecond data disputes, part 2.0000000100 You'll recall the recent brouhaha over whether the Federal Reserve's decision to not "taper" was transmitted to or received unfairly by high-frequency trading companies. There's been a new development, but first a quick refresher. Last week we learned that the Fed has been checking up with news organisations (which get the information a few minutes early) to make sure they followed protocol on how to disseminate the central bank's decision. The move by the Fed appears to have been provoked by data from Nanex, a Chicago-based market research firm, which argued that prices in New York and Chicago moved at exactly the same time - something that should not have been possible unless the data existed in both locations ahead of 2pm when the embargo on the decision was lifted. That prompted Virtu, a normally low-key high-frequency trading company, to speak out. Virtu argued that Nanex's data was imprecise and that its own more accurate figures show that equity markets in New York started trading before futures in Chicago by fractions of a second. You know, just as you'd expect, in a world where radio/microwave beams are used to reduce latencies to the millisecond level. And a world where news organisations are competing to deliver that news in a format that can be read and processed by algos as quickly as physically possible. That sent Nanex into a tizzy at the weekend, leading it to publish a post entitled, "Shredding Virtu's Response with Science," which challenges the findings from Virtu. Now, the FIA Principle Traders Group, an organisation representing the interests of a few dozen high-frequency and algorithmic trading companies (including DRW Trading, RGM Trading and Chopper Trading), has waded into the debate. The FIA PTG believes that the no-tapering decision was most likely released at the same time from multiple servers in the US, which would appear to side with the Nanex - but the organisation steers clear of Nanex's allegations of impropriety. Instead, the FIA PTG explains in a release (click here for the pdf), the simultaneity was to be expected: Starting in March, accredited media agencies have been given Federal Reserve policy statements in advance under embargo (as opposed to lock-up, as was the case prior to March). These media agencies therefore have not been prohibited from uploading release information to their servers in other geographic locations, which would allow the information to be released simultaneously in multiple financial centers. Since multiple media agencies have distribution points in Chicago and New York, the simultaneous release of the Fed announcement last week at 2:00 pm ET sharp in Chicago and New York (and simultaneous moves in those markets) should have been expected. That conclusion seems to match up with the Fed's line of questioning, especially regarding how news organisations interpret the "other dissemination" language that they must sign in a lockup agreement: I understand that I may make no public use of the documents distributed by Federal Reserve Board (FRB) staff or the information contained therein, including broadcasting, posting on the Internet or other dissemination, until the time the FRB has set for their public release. Does "other dissemination" mean that the decision can be sent to other internal servers run by news organisations? That seems to be the key question, and we suspect there will be more clarity coming on the matter now that this episode has received so much attention. In any case, it seems that a broader discussion needs to be had about how markets have evolved, and about how their evolution affects the release of public and private data to the market.