Exegy, Inc., the market data appliance company, announced that the Exegy Ticker Plant driving the MarketDataPeaks web site hit a new processing peak of 5,254, 292 messages per second on 4 August 2011.
The market was adjusting to a reassessment of macroeconomic conditions, particularly the state of the debt markets in the Euro zone and weak US economic data. The Dow Jones Industrial Average fell 512.76 points or 4.31%.
At the peak, the very deep US order book feeds sent out 923,451 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 change in underlying prices. This resulted in 3,786,005 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 512,767 messages per second in quote traffic. In addition, exchange trading systems reported 32,069 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.