|Strange Days - 20100716
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On July 16'th 2010 we observed a very large spike in our bandwidth and HFT
monitoring systems. While this burst of unusual traffic happened
pre-market when there is normally little to no traffic, it exemplifies
the ability of machine algorithms to stuff the system rapidly.
As an example of the bandwidth used, we will take a 1 second slice from this
period, at 8:01:32.
At 08:01:32 there were 46,976 quotes for NASDAQ stocks and 34,907 quotes for
CQS traffic was a minimum 16.2 mbps for that second.
UQDF Bandwidth recommendation is 56mbps (Nasdaq quotes) .
UQDF quote size is 50 bytes / short quote (not including any protocol overhead)
UQDF hit a minimum of 18.8 mbps bytes for that second.
Next note the official bandwidth recommendations and capacity figures:
Tables 1 and 2:
Charting the actual Mbps and %Capacity numbers:
Chart 1 - Quote Traffic, Mbps:
Chart 2 - Quote Traffic, Percent Capacity:
Finally we present charts of the HFT monitor spikes as well as charts of some
of the quotes in individual issues.
Chart 3 - Spike in HFT Monitoring System.
Chart 4 - Stock Symbol WYN. Over 84,000 quotes in just under 20 seconds.
Note the BBO bid followed the NSDQ bid tick for tick.
This same pattern was seen in the majority of stocks burst during this
Chart 5 - Stock Symbol WYN. Over 84,000 quotes in just under 20 seconds.
Note the EXACT same sequence and pricing as WYN shown above.
Chart 6 - Stock Symbol PETM. Over 84,000 quotes in just under 20
seconds. Note the BBO ask followed the NSDQ bid tick for tick.
Chart 7 - Stock Symbol AMB. Over 84,000 quotes in just under 20 seconds.
Note the EXACT same sequence and pricing as PETM shown above.
Publication Date: July 08, 2010
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