on 6 May 2010 during the flash crash.
The busiest moment occurred at 10:00 a.m. when the Conference Board Consumer Research Center released consumer confidence data that surprised market participants.
The very deep US order book feeds sent out 763,535 messages per second as market makers and electronic traders changed their exposure in reaction to the new economic data. The options markets also responded by changing quotes on thousands of contracts simultaneously to reflect the change in underlying prices. This resulted in 2,109,884 messages per second.
Each of the US stock markets changed their top-of-book quotes as their liquidity providers reacted to the Conference Board number, and this was reflected in a message rate of 314,794 messages per second in quote traffic. In addition, exchange trading systems reported 43,479 messages per second at 10:00 a.m. There were also 13,378 messages per second from the other feeds, such as CME
flowing into the Exegy Ticker Plant.
A single Exegy Ticker Plant provides all the updates for www.MarketDataPeaks.com, the first public website that provides a minute-by-minute account of the aggregated volume of market data messages across major North American exchanges. The site is sponsored by Exegy, Essex Radez and the Financial Information Forum.