Market data processing company Exegy said its ticker plant driving the MarketDataPeaks web site hit a new processing peak of 6,138,971 messages per second on Monday.
This compares to 5.4 million messages per second on August 25, when the previous record was hit. That day saw the market turn up and down rapidly in response to corporate news and worries over Ben Bernanke’s upcoming economic speech in Jackson Hole, Wyo.
Jeff Wells, vice president at the Chicago-based firm, said Monday’s trading session saw the market whipsaw throughout the day as it reacted to news and rumors about the debt crisis in the Euro zone.
That day, the Dow Jones Industrial Average hit an intra day low of 10,824.76 by mid-afternoon, but then staged a late 200 point rally. The reversal helped the Dow finish in positive territory at 11,053.78, or up 61.65 points on the day.
According to Wells, at the market data peak the U.S. order book feeds sent out 1,450,643 messages per second as market makers and electronic traders rapidly changed prices and modified their order books.
The companion derivatives markets also saw message traffic spike on Monday, with quotes on thousands of contracts simultaneously changing as underlying prices changed. Traffic hit 4,201,932 messages per second being sent for derivatives.
Each of the U.S. stock markets changed their top-of-book quotes reflecting the changes by their liquidity providers. This led to a message rate of 458,733 messages per second in quote traffic. In addition, exchange trading systems reported 22,079 trade messages per second.
