As we saw in the previous post, the tick datarates appear to be pretty low end, to the point where - why cant you subscribe to nasdaq level2 marketdata over your home DSL? hmm.. the answer? its all about bursting.
Take an ITCH new order tick without MPID of say, 31Bytes and lets say double it to 64Bytes, and use a time period of 1second. Resulting in
1000e6(1Gbit) / 8 (bits->bytes) / 64 (our tick) ~= 1.9M new orders per second.
hypothetically say, each order is 100shares @ $5USD resulting in
1.9M * 100 *5 ~= $950M usd / seccond
... so around $1Bn usd / second of new orders... which is crazy for any sustained period of time.
6.5H * 60min * 60 sec * $1Bn ~= $23,400Bn USD / day
...just pocket change.
Thus enter the burstyness of trading.
If we change the timebin to count burst rate over a sliding window of 100usec instead of 1second, then the picture becomes much clearer. Keep in mind the graph samples @ 10msec taking the peek burst rate of that slice (10,000usec/100usec) e.g 100 samples and plots it.
Market open also becomes more intense, with a boatload of 500Mbit/sec bursts at the start
finally what happens if we use the duration of the last 256packets sent, instead of fixed time window?
.... and the exercise left to you, the reader, is how do you turn garbage into alpha :P