The 15:50:00 UQDF Event

The 15:50:00 UQDF Event
Excessive quotes causes large delays in all Nasdaq stocks.

12/5/2011: Updated: The consumer confidence number release on Nov 29, 2011 at 10:00 triggered the UQDF emergency mode event (see chart below). Related report at Seeking Alpha.

Almost every trading day at exactly 15:50:00, there appears to be a severe saturation event in UQDF, which is the Securities Information Processor (SIP) feed for Nasdaq listed stocks. UQDF is an acronym for UTP Quote Data Feed and this feed transmits quotes for Nasdaq listed stocks such as MSFT, AAPL, and INTC. Its counterpart is the Consolidated Quote System, or CQS, which transmits quotes for NYSE, NYSE-AMEX, and NYSE-ARCA listed stocks. Trade data for Nasdaq listed stocks is transmitted by a separate system called UTDF.

We think the 15:50:00 event is related to the release of closing order imbalance messages for Nasdaq stocks. The event typically lasts one or two seconds, though we have seen it last as long as 6 seconds. This event also occurs less frequently at 16:00:00, and at other times during very active trading.

When UQDF is overloaded, it appears to enter an “emergency mode” where each multicast line consistently bursts a small number of quotes for 5 milliseconds, followed by complete silence for about 95 milliseconds. The bursts are consistent and very close to 100 milliseconds apart. The final burst contains significantly more quotes, and will often set the peak quote message rate for UQDF for the entire trading day.

The chart below shows message rates for each of the 6 UQDF multicast lines that distribute Nasdaq equity quotes, plus the total of all 6 lines. The interval is 2 milliseconds, scaled to a per second rate. Note the odd 100 millisecond oscillations which begin at 15:50:00.600 and end at 15:50:01.800, followed by a heavy surge.

Zoomed in view of above chart.

The next 5 charts show each burst in great detail. Note how lines 1 (purple) and 2 (blue) seem to burst about 10 milliseconds before the others.
This is because the timestamp is unique to each multicast line and can drift up to 16 milliseconds!
We are pretty sure UQDF’s timestamps are not well syncronized and all 6 lines burst simultaneously.