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 6,138,971 messages per second. This compares to 5.4 million on 25 August 2011 when the market turned up and down rapidly in response to corporate news and worries over Ben Bernanke’s forthcoming Jackson Hole speech.
This time the market whipsawed throughout the day as it reacted to news and rumors about the debt crisis in the Euro zone. At 2:35 pm the market suddenly turned up from its intra day low of 10,824.76 on the Dow Jones Industrial Average to stage a late 200 point rally. The late ascent in stocks helped the Dow finish in positive territory at 11,053.78 up 61.65 points (0.56%).
At the market data peak, the very deep US order book feeds sent out 1,450,643 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 4,201,932 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 458,733 messages per second in quote traffic. In addition, exchange trading systems reported 22,079 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.