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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 3,787,296 messages per second. This surpasses the previous high water mark of 3,732,957 mps reached on 31 August when the US market was reacting to better than expected consumer confidence and house price data.
This time, the market was already enthused with the successful IPO of General Motors and the impending financial rescue of Ireland. Positive economic data was released at exactly 10 a.m. The data showed new claims for US unemployment benefits rose only slightly last week after a significant drop. Additionally, the index of US leading indicators rose for a fourth consecutive month and manufacturing surged in Philadelphia. Consequently, a host of rapid price adjustments on stock order books, quotes and derivatives followed, and this led to the new peak in market data at 10 a.m.
The very deep US order book feeds sent out 694,191 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 2,760,425 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 343,371 messages per second in quote traffic. In addition, exchange trading systems reported 54,794 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.
