Quote Stuffing Event of April 26, 2010
CQS Overloaded at Market Open
The charts below shows message traffic for each of the 12 multicast
lines plus the total for CQS. Each multicast line carries quotes for a certain range
of symbols alphabetically. For example, symbols beginning with letters A and B are transmitted
on line1, C and D on line 2 and so forth.
On April 26, 2010, quote message rates shot up to capacity at 9:29:10. That means
other legitimate quotes would incur queuing delays. Between 250 and 500 quote updates
per symbol were blasted per second. Symbols were chosen in a way that each multicast
line filled to capacity. This was not some random fluke, but a well timed sophisticated
algorithm involving a precise count of quotes from multiple exchanges. We think this
might be one of the earliest examples of a full feed quote stuffing algorithm either running
in production or undergoing a test. Note that the Flash Crash occurs the following
More on CQS capacity
Download the list of symbols with high quote counts.
100 millisecond chart of 12 CQS lines plus total. Quote traffic between 9:29:10 and
9:30 is very unusual. Normally, pre-open traffic appears at rates shown before 9:29:10
1 second interval chart.
100 millisecond charts of a few randomly chosen symbols. Typical nonsense quotes filling up the pipe.
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