Someone got a report on natural gas 400 milliseconds earlier.

Yesterday, a small but very interesting anomaly occurred on the American stock exchanges, which was promptly reported by analytical company Nanex Research.

On January 31, 2013, approximately 400 milliseconds before the official publication of the weekly report on natural gas reserves , trading in futures for natural gas and shares of index funds, such as UGZ, UNG and BOIL, sharply increased.
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Report published at 10:30:00. The graph at the top shows the activity on trading with the UGZ index fund from 10:29:59 to 10:30:02, with official time stamps of transactions from different exchanges.

Federal services officially reported that they did not consider it necessary to punish people who learned the news a few milliseconds earlier than others. In other words, there is no corpus delicti. And indeed there is no evidence of such a leak: for some reason, why did traders begin their activity 400 milliseconds before the event.

Perhaps officials are not yet aware of the time scale in which modern trading systems operate. As can be understood from the charts, the main trade in securities began 400 milliseconds before the publication of the report, and ended within a few seconds after publication. This is the time interval in which the program for high-frequency trading should receive a report, analyze the information and make a decision on trading activity.

It is also surprising that the federal agencies of the United States publish official documents to the nearest millisecond: this is also a nontrivial task: synchronize time over the network with a remote server with an atomic clock, and take network delay into account.

Here are some more graphs from the Nanex Research post .