| OPRA ~ The
ISE Anomaly and
Quotes from ISE flooded OPRA for 50-100ms
| On December 16, 2011, at 11:09:51.500 and again at 11:33:46.190, quotes from ISE flooded OPRA
for approximately 50 to 100ms. During these events, there were no quotes from any
of the other 9 reporting exchanges.
This event is very similar to an
Amex outage in OPRA on September 6, 2011.
We'd also like to point out an anomaly in quote rates from the ISE exchange that appears
whenever the total OPRA quote rate exceedes about 3 million quotes/sec. When OPRA
quotes surge to a peak, the quote rate from ISE will suddenly back off and stay low
until the total quote rate declines, where upon it will suddenly surge, often sending
total OPRA traffic to new highs.
The first ISE flood event at 11:09:51.500.
The second ISE flood event at 11:33:46.190.
The 48 OPRA Lines during the first ISE flood event.
Zooming and showing the 48 OPRA Lines during the first ISE flood event.
The 7 charts below show the ISE quote surge anomaly.
Note the consistent pattern in the red line. This anomaly occurs often: whenever
the total OPRA quote nears it's capacity limitation. (C2, BATS, and BOX exchange not
show to reduce clutter).
Publication Date: 12/19/2011
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