Nanex ~ 05-Jun-2012 ~ Nasdaq Datafeed Overload Trips Panic Mode - Again
On June 5, 2012 at 12:00:06 the data feed carrying stock
quotes for Nasdaq listed stocks (UQDF) once again overloaded and went into emergency panic mode.
We have documented this time,
after time. Here
is a list of all likely dates and
times for these events between 24-Jun-2011 and 05-Jun-2012.
The charts below shows message rates for UQDF which carries quotes for Nasdaq stocks.
You can see the odd cycling behavior that lasts for exaclty 1 second and is followed
by a surge. This was due to the feed being overloaded. One result of that overload was
trades appearing before quotes, like in MSFT.
UQDF is sent on 6 multicast lines which are grouped by the symbols first character as
UQDF 1 ms peak message rate. This is how traders see it.
UQDF 1 second average message rate. This is how exchanges sees it.
Zooming in to 25 millisecond intervals, the event is barely visible.
Zooming in to 5 millisecond intervals, we can now see the event.
Zoom 1/4 ~ 1 millisecond intervals.
Zoom 2/4 ~ 1 millisecond intervals.
Zoom 3/4 ~ 1 millisecond intervals
Zoom 4/4 ~ 1 millisecond intervals
Zoom of above - Helter Skelter