Capacity

NYSE Capacity

The figures in this table are the observed values over a single stream over the month of October 2009.

Market Center Channel Description Peak 1 sec
(Mbps)1		 Peak 50 msec
(Mbps)2
Arca
ArcaBook for Equities Compacted Data Full Depth 29.65 76.60
Periodic Refresh of Compacted Data 18.45 124.00
Refresh by Request of Compacted Data 9.75 16.05
Retransmissions of Compacted Data 18.15 23.65
Bulletin Board Compacted Data 1.99 8.53
Bulletin Board Periodic Refresh of Compacted Data 3.18 13.40
Bulletin Board Refresh by Request of Compacted Data 0.44 8.87
Bulletin Board Retransmissions of Compacted Data 3.26 9.94
Uncompacted Data Full Depth 67.75 165.50
Periodic Refresh of Uncompacted Data 36.15 155.00
Refresh by Request of Uncompacted Data 22.00 30.00
Retransmissions of Uncompacted Data 41.95 57.15
Bulletin Board Uncompacted Data 2.76 15.20
Bulletin Board Periodic Refresh of Uncompacted Data 3.49 13.80
Bulletin Board Refresh by Request of Uncompacted Data 0.81 16.10
Bulletin Board Retransmissions of Uncompacted Data 2.01 15.75
Arca BBO Top of Book Data 7.74 57.95
Retransmissions of Top of Book Data 0.01 0.14
Arca Trades Last Trade Data 10.70 105.50
Retransmissions of Last Trade Data 1.10 16.45
RRP for Arca Tick Stream Data 1.12 13.40
Retransmissions of Tick Stream Data 0.00 0.04
ArcaBook for Options Options Order Imbalance 79.95 91.35
Complex Options Data 11.65 17.05
Options Depth of Book Data (Top 5) 117.00 268.50
Options Last Trade Data 96.60 381.50
Options Series Status 73.95 90.45
Options Top of Book Data 49.40 140.00
NYSE
NYSE OpenBook Full Depth of Book Data (Ultra) 51.75 70.60
Retransmission of Full Depth of Book Data (Ultra) 75.75 165.00
Aggregated Limit Order Book (1-second refreshes) 21.00 32.35
Retransmission of Aggregated Limit Order Book (1-second refreshes) 1.20 2.03
Top of Book Data 16.10 30.20
Retransmissions of Top of Book Data 0.36 0.59
NYSE Trades Last Trade Data 14.30 18.90
Retransmissions of Last Trade Data 0.01 0.13
NYSE RRP Real Time Last Sale Reference Prices (for web sites) 6.53 9.83
Retransmissions of Real Time Last Sale Reference Prices (for web sites) 0.33 1.41
NYSE ProTrac Program Trade Tracking 3.93 14.90
Retransmission of Program Trade Tracking 1.65 32.05
NYSE ReTrac Retail Trade Tracking 1.31 8.79
Retransmission of Retail Trade Tracking 0.64 12.75
NYSE Imbalances Auction Order Imbalance 1.06 4.17
Retransmissions of Auction Order Imbalance 0.37 1.34
NYSE LRP Liquidity Replenishment Points 1.89 5.32
Retransmissions of Liquidity Replenishment Points 0.00 0.00
NYSE Amex
Amex Equities All Amex Equity Products 3.41 10.4
Amex Options Options Order Imbalance 80.20 111.50
Complex Options Data 6.24 14.65
Options Depth of Book Data (Top 5) 109.50 262.00
Options Last Trade Data 62.20 202.50
Options Series Status 64.0 114.00
Options Top of Book Data 59.05 162.50
NYSE Liffe US
  Depth of Book 11.45 18.45
  Top of Book 8.43 20.60

 

1 1-second peak This value represents the maximum bit-rate seen during any 1-second interval over the course of the report, expressed as megabits per second. Method of calculation For every packet sent, the number of megabits transmitted at layer 3 in the 1-second window ending at that packet (inclusive) is set aside and recorded. The 1-second peak is the maximum of these stored values over the course of the report.

2 50-millisecond peak This value represents the maximum bit-rate seen during any 50-millisecond interval over the period of report, expressed as megabits per second. Method of calculation For every packet sent, the number of megabits transmitted at layer 3 in the 50-millisecond window ending at that packet (inclusive) is set aside and recorded. The 50-millisecond peak is the maximum of these stored values over the period of the report, converted to megabits per second. For example, if 100 bytes are transmitted in 50 microseconds then:

  • 100 bytes per 50 ms, which is 800 bits per 50 ms
  • There are 20 50 ms intervals in one second.
  • 800,000 bits per 50 milliseconds = 20 x 80,0000 bits per second, which is 160 Megabits per second

CTS and CQS Capacity

CTS and CQS Maximum IP Multicast Output Traffic Rates Capacity Projections
Effective Date Maximum Output
Traffic Rates Five Second MPS		 Bandwidth Megabits
Per Second (Mbps)		 Bandwidth Plus 10%
for Retransmissions (Mbps)		 Total Messages Per
Day (in Millions)
CTS CQS CTS CQS CTS CQS CTS CQS
July 2009 30,000 220,000 10.7 114.8 11.7 126.3 100 1000
January 2010 50,000 250,000 17.8 143.6 19.5 157.9 100 1000

 

NYSE Liffe Capacity

 The maximum uncompressed output bandwidth from LIFFE CONNECT API is 40 Mbps.

SuperFeed

The following figures are bandwidth estimates based on monitoring in the SuperFeed environment and observations of market data capacity reports published by the disseminating exchanges.  These estimates assume exactly one copy of market data for each instrument.  Note that SuperFeed is an interactive system, so only bandwidth for subscribed symbols will be sent via TCP to the requesting client.  Each connecting client will use their own segregated bandwidth.  These bandwidth numbers are estimates, and because message rates are not guaranteed by the market data provider(s), actual statistics may vary from these guidelines.


Feed Recommended Bandwidth Ceiling on Unicast (mbit/s)
CTA 100
UTP 50
CTA & UTP Combined 150
Totalview 45
Arcabook 45
Openbook Ultra 50
BATS Multicast 40
Direct Edge 35
Arca BBO 10
NYSE BBO 12
Arca Trades 2
NYSE Trades 2
Nasdaq BBO & Trades filtered from Level 2 feed 12
OPRA 500
CMEMDP FIXFAST Channels - records 20
CMEMDP FIXFAST Channels - books 40
CME NYMEX/COMEX FIXFAST - Channels - records 20
CME NYMEX/COMEX FIXFAST - Channels - books 30
CME eCBOT FIXFAST - Channels - books 25
CME eCBOT FIXFAST - Channels - records 15
SuperBook 250

For rough bandwidth estimates based on not consuming the entire feed, generally these characteristics are seen for record data (L1).  Note that these figures can change on any given day, as symbol volume is dependent upon broad market trends and unique circumstances of each publicly traded company. 

Filter Bandwidth Estimate Applied to
NBBO & Trades only for all symbols 20% CTA, UTP
S&P 500 NBBO & Trades only 10% CTA, UTP
S&P 500 all updates 50% CTA, UTP
Russell 3000 NBBO & Trades only 18% CTA, UTP
Russell 3000 all updates 90% CTA, UTP
S&P500 Option Chains (NBBO's only) 25% OPRA
Russell 3000 Option Chains (NBBO's only) 50% OPRA