Quote Stuffing Event of April 26, 2010

CQS Overloaded at Market Open

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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 week.

More on CQS capacity here, here, and here.

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 below.

1 second interval chart.

100 millisecond charts of a few randomly chosen symbols. Typical nonsense quotes filling up the pipe.

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