Market Data Rates: August 2011 v Flash Crash v August 2006
Posted by Jeff Wells on Fri, Aug 26, 2011
When I started trading for an investment bank in the 1980s, I was told that nothing happens in the summer. Crashes occur in October, and big market moves in January. Life was so predictable. These days everything happens in the summer- market crashes, government debt downgrades, big corporate mergers, European crises, Middle Eastern revolutions, even ice hockey finals are mid June.
Not surprisingly market data rates are growing at a strong rate of knots to reflect all this activity. On 25thAugust www.marketdatapeaks.com hit 5.4 million messages per second for the first time and it has been over 5 million mps several times this month. The OPRA feed has been exceptionally busy. SIAC reported to the Financial Information Forum, that OPRA hit 3,460,860 mps on August 2nd. This compares to a May 6th Flash Crash high of 1,331,044 mps. Five years ago, back in August 2006, OPRA pushed out 157,442 mps on its busiest day.
Not surprisingly this month, the options exchanges that make up OPRA revised their forecasts for future growth and OPRA alerted direct feed recipients on August 15th that they need to provide for a potential of 9,127,000 mps in July 2012 as opposed to their previous forecast ceiling of 6,537,000 mps at that time. This surprised a few people but if you look back at the long term trend, it is similar to growth rates we have seen before.
CQS has also been scaling new heights at a strong clip. SIAC reported that the top of book feed peaked at 476,619 mps on August 5. This compared to 199,198 mps on May 6th 2010. Five years previously, in August 2006, the CQS high point was 5,489 messages per second. But I think the main news in August 2006 was the demotion of Pluto from full planet to a mere dwarf. Now that was a fine summer.
When Pluto was a planet, did we have a capacity problem?