Volume of deal messages tests Europe exchanges

Volume of deal messages tests Europe exchanges – FT.com

Extreme market volatility on Friday exposed the vulnerability of electronic trading systems across Europe as record numbers of messages carrying dealing instructions and market data knocked out systems in Italy and the Nordic region and froze the provision of quotes retail brokers in the UK.

One senior trader said: “The amount of [trade] executions generated is absolutely huge. We are breaking all sorts of records today, like numbers of messages generated.”

Messaging is the lifeblood of the world’s trading systems. A message – whether market data or a trade – is sent across trading platforms and fibre optic cables.

We’re beginning to see the European market infrastructure, especially around some exchanges, start to creak. We are having a tough time with price discovery, that is a concern especially as the market is moving around so rapidly.”

For a second day the Milan bourse in Italy had problems with market data for its blue-chip FTSE MIB 30 index and forced BATS Europe, a pan-European trading platform that competes with the Milan bourse, to take Italian market data out of its feeds.

Nasdaq OMX also experienced problems at its derivatives market: “We have issues with pricing updates on the Nordic derivatives markets and are working hard now to troubleshoot the issue,” a spokesman said.

Retail stock brokers in the UK struggled to obtain electronic quotes from market makers as Proquote, the LSE-owned system, suffered problems in early morning trading between 8am and 9am.

“We were asking for a quote and getting nothing back,” said John Douthwaite, chief executive of SimplyStockbroking, estimating that the broker had been unable to obtain electronic quotes for 40 minutes. The firm had reverted to trying to obtain quotes from market makers by telephone, he said, with inevitable delays for clients.

US-based Options Price Reporting Authority, the world’s largest single largest data feed, has estimated messages per second had hit an all-time peak of 1.5m in September last year from virtually nothing in 2003, and projects the figures to mushroom further in coming years.

Read the whole story on the FT: Volume of deal messages tests Europe exchanges – FT.com

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