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 4,159,537 messages per second. This surpasses the previous high water mark of 4,123,232 mps, reached on 16 March 2011 when the US market was reacting to several economic indicators, unrest in the Middle East and fears of a worsening nuclear catastrophe in Japan.
This time the market was adjusting to a rebalancing of the NASDAQ 100 index that will occur on Monday 2nd May. The adjustment will significantly reduce the weighting of Apple in the NASDAQ 100 and reweight every other constituent. Today was the last day of trading at the old weightings so it wasn’t surprising to see a very high peak exactly at 4 pm, the market close.
The very deep US order book feeds sent out 1,484,543 messages per second as market makers and electronic traders rapidly changed prices and closed out 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 2,737,720 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 239,561 messages per second in quote traffic. In addition, exchange trading systems reported 25,515 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.