Curriculum·Graduate·G901
Market Data and Its Failure Modes
The Facebook IPO on Nasdaq, 18 May 2012. Nasdaq's system for opening the most anticipated IPO in years entered a loop in its order-matching software under a flood of orders and cancellations, and for over two hours it could not tell firms whether their orders had executed.
Lesson 1 opens on
The Facebook IPO on Nasdaq, 18 May 2012
Nasdaq's system for opening the Facebook IPO, the most anticipated listing in years, entered a loop in its order-matching software under a flood of orders and cancellations, and for more than two hours it could not tell firms whether their orders had executed.6 million dollars in qualified claims under a 62 million dollar accommodation plan. Nothing was hacked and no key was stolen; the confirmation feed, the plumbing that tells a system the state of its own orders, stopped when the stalled cross was forced through, and a trading system that does not know the state of its own orders cannot act with any confidence.
The lessons
- G901-01Your system is only as good as its data feedExplain that a trading system depends on its data feeds for order status and market stateabout 34 min · opens on The Facebook IPO on Nasdaq, 18 May 2012
- G901-02Acting on unverified data: the signal that was a lieExplain that a system acting on an unverified data source will act on a lie at machine speedabout 34 min · opens on The AP Twitter hash crash, 23 April 2013
- G901-03When the feed goes darkExplain that a market's data and trading can stop entirely, not just slow downabout 34 min · opens on The Tokyo Stock Exchange outage, 1 October 2020
- G901-04The consolidated feed is a single point of failureExplain that a shared consolidated data feed is a single point of failure for everyone who relies on itabout 34 min · opens on The Nasdaq SIP flash freeze, 22 August 2013