This paper investigates the importance of speed for trading strategies based U.S. macroeconomic news releases. In addition, we investigate the impact of algorithmic trading activity on market quality around macroeconomic news announcements. By using order level data of the highly liquid S&P500 ETF traded on NASDAQ over the period January 6, 2009, up to December 12, 2011, we find that trading speed is important for the success of macroeconomic news based trading strategies. A delay of 25 milliseconds (1 second) leads to a significant relative decrease in returns of -2% (-27%) compared to the case of instantaneous execution. The absolute impact over all announcements ranges from 0.64% to 9.66%, respectively. Increases in algorithmic trading activity around macroeconomic news have a positive effect on market quality measures as depth and volatility. The effect is mixed for quoted half spreads, whereas there is no evidence that algorithmic trading activity affects realized spreads and adverse selection costs.