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Exegy, Inc., the market data appliance company, announced that the Exegy Ticker Plant driving the MarketDataPeaks web site hit a new processing peak of 5.4 million messages per second. This compares to 5.25 million on 4 August 2011 when the market turned down rapidly in the face of increasing uncertainty regarding Euro zone debt and US economic prospects.
This time the market was adjusting to a plethora of news during the day including Buffett’s newly announced stake in Bank of America, the retirement of Steve Jobs as Apple CEO and speculation as to what the Federal Reserve Governor, Ben Bernanke, might say in a speech at Jackson Hole, Wyoming on Friday. The NASDAQ 100 index fell 48.06 points (1.95%) to 2,419.63.
At the peak, the very deep US order book feeds sent out 1,192,000 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 3,631,500 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 613,000 messages per second in quote traffic. In addition, exchange trading systems reported 61,800 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.
