Market data message rates are hitting new highs since the flash crash of May 6th, reports Exegy Inc. of St. Louis market data appliance company tracking aggregated market data volumes.
The Exegy Ticker Plant driving the MarketDataPeaks web site hit 3,245,070 messages per second on Monday, June 29th, which is a new record surpassing the previous high water mark of 2,808, 532 mps reached on May 6, 2010 during the flash crash.
The busiest moment occurred at 10:00 am when the Conference Board Consumer Research Center released consumer confidence data that surprised market participants.
The deep US order book feeds sent out 773,535 messages per second as market makers and electronic traders chanced their exposure in reaction to the new economic data. The options markets also changed quotes on thousands of contracts simultaneously to reflect the change in underlying equity prices. This resulted in 2,109,884 messages per second.
Each of the US stock markets changed their top-of-book quotes as their liquidity providers reacted to the Conference Board number, and this was reflected in a message rate of 314,794 messages per second in quote traffic. In addition, exchange-trading systems reported 43,479 messages per second at 10:00 a.m. There were also 13,378 messages per second from the other feeds, such as CME flowing into the Exegy Ticker Plant.
A single Exegy Ticker Plant provides all the updates for Marketdatapeaks.com, the first public web site that captures a minute-by-minute account of the aggregated volume of market data messages across North American exchanges. The sites sponsors are Exegy, Essex Radez and the Financial Information Forum.
