Nanex Research
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,
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
follows:
| Line |
From |
To |
| 1 |
A |
BZZZZ |
| 2 |
C |
DZZZZ |
| 3 |
E |
IZZZZ |
| 4 |
J |
NZZZZ |
| 5 |
O |
RZZZZ |
| 6 |
S |
ZZZZZ |
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
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