• Jan
  • 31
  • 2008
  • 4:05 PM

Another busy close

By: Ray Pellecchia
File Under: NYSE

Another day, another bunch of electronic-message-traffic records falling. Starting at 3:53 p.m. today, I started getting e-mails about new system records, and have gotten 23 such messages since. SuperDOT, market data, Common Message Switch, quotes, on and on.

Am tied up on other stuff right now but will try to update this with the latest numbers tonight, after the dust settles.

UPDATE -- Following are the new records:

SDT 5 min throughput record of 37219.7 messages per second established at 16:00:00. Replaces previous record of 33419.8 messages per second established on 01/31/2008 at 15:51-15:55.

PSS 5 min throughput record of 48781.3 messages per second established at 15:59:00. Replaces previous record of 47084.7 messages per second established on 01/31/2008 at 15:52-15:56.

CQS 30 sec throughput record of 32526.2 messages per second established at 15:57:00. Replaces previous record of 32109.7 messages per second established on 01/31/2008

CMS 5 min throughput record of 37454.4 messages per second established at 15:58:00. Replaces previous record of 35862.5 messages per second established on 01/31/2008 at 15:52-15:56.

IGS 1 min throughput record of 27987.9 messages per second established at 15:58:00. Replaces previous record of 27513.6 messages per second established on 01/31/2008 at 15:54.

IGS 5 min throughput record of 26387.6 messages per second established at 15:58:00. Replaces previous record of 25171.1 messages per second established on 01/23/2008 at 15:48-15:52.

MDS 5 min throughput record of 7184.9 messages per second established at 15:58:00. Replaces previous record of 6750.7 messages per second established on 01/31/2008 at 15:52-15:56.

PSS 30 sec throughput record of 58144.6 messages per second established at 15:57:00. Replaces previous record of 51642.3 messages per second established on 01/31/2008 at 15:53:00.

PSS 1 min throughput record of 54041.9 messages per second established at 15:57:00. Replaces previous record of 47111.7 messages per second established on 01/30/2008 at 15:45:00.

CMS 1 min throughput record of 41936.0 messages per second established at 15:56:00. Replaces previous record of 37953.1 messages per second established on 01/31/2008 at 15:53:00.

SDT 1 min throughput record of 41480.9 messages per second established at 15:55:00. Replaces previous record of 37609.8 messages per second established on 01/31/2008 at 15:53:00.

MDS 30 sec throughput record of 8081.1 messages per second established at 15:55:00. Replaces previous record of 7363.9 messages per second established on 01/31/2008 at 15:53:30.

MDS 1 min throughput record of 7699.7 messages per second established at 15:55:00. Replaces previous record of 7309.8 messages per second established on 01/31/2008 at 15:53:00.

I edited the list to delete breakings of the same records that happened earlier in the seven-minute period. Still, that's a lot of throughput. And "Throughput" wouldn't be a bad name for a rock band.

Comments

Ray, congratulations on reaching another program trading driven record. I remember a time when traders used to follow the "honor your order" motto. Now one thing you are celebrating is reaching record cancellation messages????

by Ron on February 3, 2008 2:44 PM

Ron -- Thanks for writing. I, too, remember a simpler time. But traders have always been able to cancel orders; now they can do it with the help of programs, and sometimes cancellations are a core component of their trading strategy, as you point out.

My view is this: the business has changed, and we have to change with it, and be able to process these messages.

It doesn't matter whether a customer wants to place an order or cancel that order, or whether that request began with a human finger on a button or an algorithmic message. To us, it's all serving a customer. An important part of our job is to process those messages, and that is particularly important when news moves the market and so many people (or programs, to your point) run for the entrance or exit at one time, which is the point I tried to make in my original post on this topic.

Also gone are the days when we tried to dictate to customers how they could do business with us. Today, we aim to provide customers with choice in how they access our liquidity and price discovery; it's up to customers to choose. Respectfully, I think that's how it should be, and today, for us, it's how it has to be.

by Ray Pellecchia on February 4, 2008 6:42 AM

It's you people on the exchange floor who are causing the markets to be unstable. Your stupidity is causing problems all over the world. Chill out for God sake.

by Jerry Masser on February 6, 2008 4:18 PM

Jerry -- Respectfully, you're wrong about that. People on the NYSE trading floor either are brokers representing customer orders (not initiating their own) or specialists adding liquidity when possible. To learn about the causes of recent market volatility, I respectfully suggest reading a good newspaper.

by Ray Pellecchia on February 7, 2008 8:12 AM

Specialists adding liquidity? hahahaha

by Ron on February 7, 2008 11:19 AM

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