| The 15:50:00
Excessive quotes causes large delays in all Nasdaq stocks.
| Almost every trading day at exactly 15:50:00, there appears to be a severe saturation
event in UQDF,
which is the Securities Information Processor (SIP)
feed for Nasdaq listed stocks. UQDF is an acronym for UTP Quote Data Feed and this
feed transmits quotes for Nasdaq listed stocks such as MSFT, AAPL, and INTC. Its counterpart
is the Consolidated Quote System, or
CQS, which transmits quotes for NYSE, NYSE-AMEX, and NYSE-ARCA listed stocks.
Trade data for Nasdaq listed stocks is transmitted by a separate system called UTDF.
We think the 15:50:00 event is related to the
release of closing order imbalance
messages for Nasdaq stocks. The event typically lasts one or two seconds, though we have
seen it last as long as 6 seconds. This event also occurs less frequently
at 16:00:00, and at other times during very active trading.
When UQDF is overloaded, it appears to enter an "emergency mode" where each multicast
line consistently bursts a small number of quotes for 5 milliseconds, followed by
complete silence for about 95 milliseconds. The bursts are consistent and very close
to 100 milliseconds apart. The final burst contains significantly more quotes, and will often set the
peak quote message rate for UQDF for the entire trading day.
The chart below shows message rates for each of the 6 UQDF multicast lines that distribute Nasdaq equity quotes, plus the total of all 6 lines. The interval is 2
milliseconds, scaled to a per second rate. Note the odd 100 millisecond oscillations
which begin at 15:50:00.600 and end at 15:50:01.800, followed by a heavy surge.
Zoomed in view of above chart.
The next 5 charts show each burst in great detail. Note how lines 1 (purple) and 2 (blue) seem
to burst about 10 milliseconds before the others.
This is because the timestamp is unique to each multicast line and can
drift up to 16 milliseconds!
We are pretty sure UQDF's timestamps are not well syncronized and all 6 lines burst simultaneously.
The following charts are various images that we've collected over time. They are in no
way a complete list, as the 15:50:00 event occurs frequently.
Nov 29, 2011 (10:00)
Oct 24, 2011
July 27, 2011
July 14, 2011 (16:00)
July 13, 2011
July 5, 2011
July 1, 2011
June 24, 2011
Publication Date: 12/01/2011
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