Nanex Research
Nanex 13-May-2014 ~ NYSE Bandwidth Utilization
Recently, we came across daily bandwidth utilization data on
NYSE's public ftp site. Each spreadsheet contains 5 minute sample data for one
day of Open Book (and other) market data from the NYSE. Plotting out several of these
data points over time confirms what we have published elsewhere - data feed overload
existed in direct feeds during the flash crash. This tidal wave of market data led to
significant feed delays which in turn triggered more and more people and trading systems
to pull out. We recorded consolidated feed delays
of 36 seconds in some stocks and even found that
CNBC was behind a full minute or more during the flash crash (and was unaware
of the delay).
See also:
CQS Was Saturated and Delayed on May 6th, 2010 and
Direct Feed Slowdown (Latency) on Demand.
1. During the flash crash (red line), NYSE Open Book average bandwidth soars to its
highest level since January 2009.
2. Open Book minimum bandwidth is markedly pronounced on May 6, 2010, starting before
the crash.
Note: The algo that sold the Waddell and Reed contracts
didn't start until 14:32 - significantly later than message traffic exploded.
3. But the peak bandwidth remains pegged at a near constant level.
This is a strong indication that the Open Book network or system is often saturated
(at it's maximum).
4. Total message counts shows the same pattern as average bandwidth (chart 1).
5. Peak message count is also pegged near a constant similar to maximum bandwidth
(chart 3).
