Equity Quote Saturation

Yesterday, I tweeted a quick mention of the ARMS index, a technical measure that has psychological implications.  I received a response from @JayTrdr, who wrote: “Machines don’t smell or feel fear.

That is a valid point. With that in mind, let’s have a look at what Skynet, our machine overlords, are up to, via Nanex: >


Capacity (Quotes per Second) per multicast line all 12 multicast lines
Before July 5, 2011 75,000 750,000
Starting July 5, 2011 100,000 1,000,000

The following charts plot each of the 12 individual CQS multicast lines and the total (which is divided by 10 to fit into the same scale) on a 1 millisecond basis.

The first chart shows one micro-burst of activity as it occurred on July 5th, 2011, which is the first day after CQS capacity was increased by 33% to 1 million quotes/second.


click for larger graphic

The second chart shows how this same data might look if we imposed the capacity limits that were in effect prior to this trading day.

Source: Equity Quote Saturation
July 7, 2011

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