The stack of 46 charts below shows quote traffic in CQS stocks (NYSE, AMEX, ARCA Listed)
color coded by reporting exchange for each millisecond over 200 milliseconds of time.
We selected the top 46 peaks over a 30 minute period between 10:00 and 10:30 EDT on
June 3, 2013. Data is plotted using time stamps from CQS (the consolidated feed, or SIP).
The oscillating behavior that occurs near the peak for each exchange is indicative of
network saturation. Peaks are occurring and growing at an alarming rate. The total (not
shown) of all exchanges during these peaks is about 1.6 million
quotes per second. That's right, 1.6 million quote changes in 1 second. As for the number
of actual trades? That number is much, much lower.
For reference, the number of quote changes in a second for the same stocks during the
1999 bull market was 1,000. The number of quotes per second has grown from 1,000 to
1,600,000. And it's about to double.
In October of 2013, network capacity will increase to allow 3 million quotes per second.
Every time capacity increased
in the past, we've seen quote spam
explode and fill the new capacity the
very first day. Which means the charts
below will look about the same, except the scale will double. There is a solution to this madness.
Where are all these quotes coming from? Take a look at this video showing 1/2 second
of quotes in Johnson & Johnson: