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Increasing Market Activity
Throughout 2007, there have been dramatic increases in the volume of quotes coming from the U.S. exchanges. The NYSE’s Hybrid Market and NASDAQ’s Reg NMS projects have resulted in market participants needing to offer transparent order books and, subsequently, have led to increased liquidity for traders.
The net result of this is that market volumes are surging ahead at a record pace. From August 2006 - August 2007, NASDAQ has seen a 62 percent increase in trade volumes (105 million trades in August 2006 versus 171 million trades in August 2007).
While this is a large jump, it doesn’t even compare to the burgeoning quote volume rates. The sheer amounts of bids and offers coming through are staggering. Just a littler more than a year ago, in May 2006, our incoming feed for U.S. listed securities (NYSE / AMEX) was sending approximately 4,000 messages per second (mps). One year later, we were seeing nearly 19,000 mps -- that’s nearly a 500 percent increase in the amount of data to be processed and stored.
Options Take It to a New Level
The options market dwarfs even those statistics. The Options Price Reporting Authority (OPRA) has projected that, in 2008, we’ll see peak rates of more than 1 million messages per second! To be able to process that level of quote traffic, we are redesigning our options ticker plant, which is a group of servers that process the incoming trades and quotes from OPRA. By employing new advances in processors, operating systems and various other technologies, we have been able to surpass the estimated increases by a good margin in a lab environment.
Divide and Conquer
One architecture method we are using to handle these larger message rates is to split up servers to share the different requirements users are requesting. eSignal currently connects to a variety of servers to handle its data requests.
For example, if you need quote or trade data, you go to a Data Manager server to get that data; NASDAQ Level II data comes from a market depth server and for intraday bar data, you are routed to a tick server, and so on. We are continually making improvements to increase input capacity on these servers, and we are working to reduce the storage and bandwidth footprints in order to meet future demand.
Gaining Efficiencies through Consolidation
eSignal is a division of one of the largest financial data providers in the world, Interactive Data Corporation. Interactive Data runs very low-latency, global datafeeds designed for the institutional market. We have long-term plans to port our existing infrastructure over to this technology to consolidate our businesses. Not only will we be taking advantage of one of the fastest consolidated feeds on the market, but this will also enable us to focus on our core business: Delivering high-quality, reliable products with superior decision-support tools directly to your PC.
In summary, over the last year, we have spent millions growing our infrastructure in anticipation of the future expansion that the markets will bring. As daily trade and quote volumes increase, eSignal is dedicated to providing professional-level market information to the individual’s trading workstation.
