The transmission of market data messages hit a new peak of 6.1 million messages a second Monday, as financial markets whipsawed in reaction to "news and rumors about the debt crisis in the Euro zone,'' Exegy said Tuesday.
This compares to the previous record set on August 25 of 5.4 million messages a second. That occurred "when the market turned up and down rapidly in response to corporate news and worries over Ben Bernanke's forthcoming Jackson Hole speech,'' the market data appliance company said.
At peak, the very deep US order book feeds sent out 1,450,643 messages per second as market makers and electronic traders rapidly changed prices and modified their order books, said the operator of the Exegy Ticker Plant that supplies the MarketDataPeaks web site with market data statistics. The derivatives markets also responded by changing quotes on thousands of contracts simultaneously to reflect the changes in underlying prices. This resulted in 4,201,932 messages per second.
U.S. stock markets changed their top-of-book quotes reflecting the changes by their liquidity providers. This led to a message rate of 458,733 messages per second in quote traffic. In addition, exchange trading systems reported 22,079 trade messages per second.