Nanex Research
Nanex ~ 27-Sep-2012 ~ Stress Testing an Order Router 8 Minutes before Closing Bell
On September 27, 2012 at 15:52:39 and lasting for 4 seconds, someone thought it was
a good idea to blast 3500+ quotes per second in just one stock (BSMX) to either test, or disrupt
an order router. 10 exchanges were involved! Will someone please pass on
the message:
Testing trading software is a good idea! Stress testing during market hours?
Not so much.
1. BSMX 25 millisecond interval chart showing quotes color coded by exchange and NBBO
Notice how the number of quotes from different exchanges closely match (e.g. BOST and BATY
both have 779, and EDGX is close with 776).
2. BSMX 1 second interval chart showing quotes color coded by exchange and NBBO
Tucked away in that column of color at the bottom center is the test run.
3. BSMX 25 millisecond interval chart showing quotes color coded by exchange and NBBO
4. BSMX 1 millisecond interval chart showing quotes color coded by exchange and NBBO
One Second of data! Note that 10 exchanges are involved!
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