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 4,123,232 messages per second. This surpasses the previous high water mark of 3,787,296 mps, reached on 18 November 2010 when the US market was reacting to unexpected good news in the form of the IPO of General Motors, the financial rescue of Ireland, positive employment numbers, better leading indicators and a manufacturing surge in Philadelphia.
This time, the market was reacting to reports of the EU energy chief’s comments regarding the potential for nuclear disaster in Japan. There was already a lot of anxiety about several negative factors: rising oil prices; severe unrest in the Middle East, particularly in Bahrain; and the unknown economic effects of the Japanese earthquake. In addition, earlier this morning, there was fresh data for US housing starts, which plunged 22.5% to a near-record low pace of 479,000 in February. Consequently, a host of rapid price adjustments on stock order books, quotes and derivatives intensified, and this led to the new peak in market data at 11.01 a.m. today.
The very deep US order book feeds sent out 948,866 messages per second as market makers and electronic traders rapidly changed their pricing and order books. The derivatives markets also responded by changing quotes on thousands of contracts simultaneously to reflect the change in underlying prices. This resulted in 2,610,329 messages per second.
Each of the US stock markets changed their top-of-book quotes as their liquidity providers reacted to the new information, and this was reflected in a message rate of 517,717 messages per second in quote traffic. In addition, exchange trading systems reported 46,316 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.