US market data volumes peak above 5M/sec for the first time

The debt ceiling debate and now the S&P downgrade are driving huge headlines and unprecedented market activity. Last week market data rates across the US markets broke new ground by peaking at over 5 million messages a second for the first time. That blew away the previous record (4.2 million messages a second in May) by 20%. Somebody get the oxygen tanks!

Since Thursday, US market data volume peaks have been:

• 5.3 million mesgs/second on Thursday August 4^th
• 5.2 million msgs/sec on Friday August 5^th
• 4.7 million msgs/sec today

That’s some pretty thin air for systems that consume market data. We have heard from many on the buy side that feeds from their market data vendors (consolidators) are struggling mightily to keep up, and investment banks are experiencing hiccups in their multicast messaging networks. This kind of infrastructure stress and hand wringing is exactly why so many companies are turning to hardware to both handle feeds and distribute the market data. Hardware is especially good at keeping systems stable and predictable when unexpected volume spikes occur.

Those rates will no doubt back off again when market volatility settles, but this spike is also happening in August, normally one of the slowest times of the year. So it’s a good bet that either natural volume progression or another black swan event will come along and we’ll be talking about climbing market data peaks of 6 million msgs/sec before the end of the year. With more and more electronic trading, market data volumes will only go in one direction — up.