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New Web Site Consolidates Real-Time Market Data Peaks Across U.S. Equities and Options Venues

Market data pros turn to a new Web site to track surging message rates in real time amid the turmoil.

Any market data professional working during the week in which Lehman Brothers filed for bankruptcy and Merrill Lynch arranged its own sale to Bank of America would have noticed that market data message rates soared to new highs. The turmoil in the credit markets in September and October caused equity and option trading volumes to spike, leading to record-breaking trading volumes and quotation update rates.

Coincidentally, the same week that the credit crisis reached new heights, Exegy, a St. Louis-based consolidator of arket data feeds, launched a new Web site to help market data professionals at brokers, exchanges, ECNs and vendors cope with capacity planning. Exegy built the site, MarketDataPeaks.com, and is sponsoring it in cooperation with Xasax, a network provider of colocation services, and the Financial Information Forum (FIF), an industry association that tracks market data capacity as well as other issues that impact financial technology operations.

No Time Like Real Time

"The real-time aspect of it is the most powerful component because we can compare relative quote traffic observed on the MarketDataPeaks.com Web site with real-time issues we're dealing with in our own environment," comments Rob Wallos, global head of market data architecture at Citi and cochair of the FIF's Market Data Capacity Planning (MDCP) working group.

Though FIF has historically tracked the market data message rates from the exchanges on a monthly basis, Tom Jordan, chairman of the FIF Advisory Committee, explains that the availability of real-time data is new. "This is really moving [the information from the exchanges] toward real-time presentation of the information," he says.

For the first time, members of FIF -- including the exchanges; utilities such as NYSE/SIAC; the big market data vendors Bloomberg, Interactive Data and Thomson Reuters; as well as the financial recipients of the data, such as UBS, Citi and Credit Suisse -- "who are concerned with the potential stresses and strains on their systems" created by exploding market data volumes will have access to this real-time data, says Jeff Wells, Exegy's VP of product management. "They are interested in knowing what the peaks have been and listening to the exchanges on what may be coming next to make sure they are provisioning their systems and bandwidth," he adds.

Take the case of Monday, Sept. 15, when Lehman's bankruptcy filing and Merrill's sale to BofA were announced, causing the Dow to drop 500 points. That day, U.S. equity and option markets' update rates peaked at 990,800 messages per second, according to MarketDataPeaks.com. The following day, Sept. 16, the North American equities and options trading venues set a historic high, reaching 1.83 million message updates per second at 12:17 p.m. "We saw the market peak very quickly following the various news items through the 16th," recalls Wells. Previously, the record rate had been set on May 19, when the peak was just more than 1 million (1,058,227) messages per second.

FIF's Jordan notes that he had always assumed daily peaks occurred at 9:31 a.m., after the market open. But he now realizes this isn't always the case.

According to Exegy's Wells, "On normal days, the peaks are at the beginning of the day, as the markets open up, and at the close of the day with all the closing messages. But these peaks are happening any time the news hits, and the big news is very unpredictable." But even under normal conditions, Wells adds, the market currently experiences about 200,000 messages per second. "A few years ago, that would have blown everyone out of the water," he says.

Since the majority of those message updates originate from option and equity order books, many FIF members are interested in a breakdown of which exchanges are generating the peak volumes, Wells continues. Explaining MarketDataPeaks.com's functionality, he says, "You would click on the high, show how much was options, how much was stock, how much was Level II or Level I, BATS or Arca." According to the site, it tracks all the market data messages that occur simultaneously in any given second across all live data feeds, including NYSE/SIAC, OPRA, Nasdaq, Arca, BATS and Direct Edge, including both Level I and Level II.

Ivy is Editor-at-Large for Advanced Trading and Wall Street & Technology. Ivy is responsible for writing in-depth feature articles, daily blogs and news articles with a focus on automated trading in the capital markets. As an industry expert, Ivy has reported on a myriad ... View Full Bio

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