Amex Outage in OPRA on September 6, 2011
Quote reset triggers flood of messages that overwhelms system capacity
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First Image shows each of the 48 OPRA multicast lines plus the total. Bottom panel
shows total number of crossed or locked quotes, which drops to zero at 9:55:22. This is because Amex's quote remained
"stuck" and causes an invalid NBBO for the remaining exchanges until it is cleared (reset) at 9:55:22. |
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Next Image shows OPRA total and quotes from Amex for all options. You can see when
quotes stop from AMEX. Note the single line at 9:55:22 -- this is from a burst of
messages clearing each of the option contracts with Amex's stale quote. |
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Zooming and showing quotes from each exchange plus the total. The blast of messages clearing AMEX quotes fills the entire OPRA feed and severely slows quotes from other exchanges |
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Traffic from each of the 48 OPRA multicast lines during the AMEX quote clearing event. Here we can gauge the approximate system capacity as AMEX clearing quotes flood the feed to the maximum |
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Publication Date: 02/22/2012
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