Nanex Research

Nanex ~ 30-Aug-2013 ~ 411 Instances of Stocks with 20,000 Quotes in a Second

On August 29, 2013, Nasdaq issued a statement on the cause of the August 22nd black-out (which we covered here). Basically they said the problem was caused by NYSE-Arca sending 26,000 quotes per second on one port.
During this period, NYSE Arca sent multiple bursts with each connect and disconnect, topping more than 26,000 quote updates per-port, per second as it attempted to reconnect. By comparison, a typical August day for NYSE Arca would peak at less than 1000 messages per-port, per second. The events of August 22 were 26 times greater than the average per-port, per-second activity.

We thought that was curious, because since 2003, there have been 411 instances where a single stock (one port) had 20,000 or more quotes in one second and in 62 of those instances there were 26,000 or more quotes in a second (download the list). In almost every case, the exchange sending this high quote traffic was Nasdaq. There were no blackouts following any of these high quote rate events, though trading was severely curtailed during one of those events, on November 1, 2012. The November 1st event is interesting, because it involved several very large cap stocks and the excessive quotes all came from Nasdaq. When Justin Grant asked Nasdaq about the high quote rates for the Wall Street & Technology article Broker Says Nasdaq Caused Excessive Quote Spam in Several Stocks, a spokesperson from Nasdaq replied:
As for the message volumes, the spokesman said the impact of the additional quote traffic has been modest. "As our systems are designed to handle message volumes with minimal throughput degradation, we're seeing member firms submit marketable orders in active securities and we've received feedback that the impact of additional quote traffic at the NBBO is modest as member firms have also already prepared to handle any active periods of messaging volumes," the spokesman wrote.
So, if Nasdaq sends 26,000 quotes in one stock (therefore 1 port) in 1 second, it's considered "modest". But when NYSE-Arca sends messages at that rate, it causes a 3 hour black-out?
More recently, on both May 21 and May 22, 2013, there were 3 seconds back-to-back with over 27,000 quotes in each second in Microsoft. On May 29, 2013, there were 2 seconds of 27,000 quotes each second in Microsoft.

There were no black-outs on any of those days.

(download complete list)

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