Exegy, Inc., the market data appliance company, announced today that the Exegy Ticker Plant driving the MarketDataPeaks web site hit a new processing peak of 6.65 million messages per second. This compares to 6.1 million on 12 September when the market turned up and down rapidly in reaction to news and rumours about the debt crisis in the Euro zone.
This time the market reacted to news that Italy and Spain had been downgraded by Fitch from A+ to AA-. At 12:03 pm the market suddenly turned down with the bad news and retreated to 11,055 on the Dow Jones Industrials Index.
At the market data peak, the very deep US order book feeds sent out 1,883,824 messages per second as market makers and electronic traders rapidly changed prices and modified their order books. The derivatives markets also responded by changing quotes on thousands of contracts simultaneously to reflect the changes in underlying prices.
This resulted in 4,323,956 messages per second.
Each of the US stock markets changed their top-of-book quotes reflecting the changes by their liquidity providers. This led to a message rate of 423,957 messages per second in quote traffic. In addition, exchange trading systems reported 14,414 trade messages per second.
A single Exegy Ticker Plant provides all the updates for www.MarketDataPeaks.com, the first public website that provides a minute-by-minute account of the aggregated volume of market data messages across major North American exchanges. The site is sponsored by Exegy, Essex Radez and the Financial Information Forum.
