Great News: Just 10% More Quote Churn And The Broken Market "Resets"

Tyler Durden's picture

For all those wondering what may force the "GREAT RESET", we now know. According to the below email from the Nasdaq sent out 24 minutes before close, we were just 10% away from the Nasdaq essentially DKing all trades on one of its UTP channels, and "restarting the outbound message count. If the count is restarted, the UTP SIP will be unable to process any UQDF retransmission requests for the affected data channel..." All we need now are the HFT quote churners to put the empty churn knob on max tomorrow, and the market, well, breaks.

From: Trader Website []
Sent: Wednesday, August 10, 2011 3:36 PM
Subject: UQDF Channel 6


NASDAQ Operations has recently updated the status of the following NASDAQ Market System(s) to the NASDAQ Trader website:


Given today's market conditions, the UTP SIP has already disseminated over 90 million quotation updates on UQDF channel 6 (S-Z). As noted in UTP Vendor Alert #2011-2, the UQDF message sequence number is a 8-byte numeric field with a maximum value of 99,000,000. If the UTP SIP processes more than 99 million quotation updates messages for NASDAQ symbols in the S to Z alpha range, it will need to reset the UQDF channel 6 message sequence number to zero and restart the outbound message count. If the count is restarted, the UTP SIP will be unable to process any UQDF retransmission requests for the affected data channel prior the message sequence number reset event. Please note that only UQDF is close to its maximum sequence number. Because the UTP SIP has established reset procedures, trading should not be impacted


Please refer to the link for additional system status updates.

h/t Nanex

Comment viewing options

Select your preferred way to display the comments and click "Save settings" to activate your changes.
RockyRacoon's picture

Let's break this thing!   Operation Mayhem.


MarketTruth's picture

QUICK, call Initech to rework the software... and make sure your trades have the new TPS cover sheet!

buzzsaw99's picture

defines the problem perfectly. add another digit to the odometer, duh.

Bill Lumbergh's picture

That is my call on how we will proceed.  However I do need you to come into work this weekend.  Greattt...thanks.

max2205's picture

Man vs machines.....break the machines. You thought 1987 was bad....

Breaker's picture

As much as I hate the idea of giving the feds more money to waste, a 1 cent tax on each order placed would do a lot to fix the HFT caused volatility.

jemlyn's picture

I love your idea!  Let's make it 5 cents.

V10's picture

I'm all for anything that separates actual investors from traders (ie. HFT casino-mentality money movers).

In the same vein, what about requiring anything traded be held for a minimum amount of time? Yeah, yeah, 'providing market liquidity' and all those textbook excuses, but a 24-hour cooling off period is not going to cause real economic activities (people and corporations that actually produce things) to grind to a halt.

FreakuentFlyer's picture

let me try this.

data feeds can deliver quote messages in two basic modes: tcpip & udp. the 1st one is slower because it guarantees that each message will be delivered to its recepient, and in the order in which the messages have been sent. if one is not confirmed, the networking layer resends the message while the subsequent messages "wait".


udp on the other had does not support delivery confirmation nor sequence validation, but is therefore "much" faster. which is the reason most serious HFT shops subscribe to that version of each ecn feed.


since the message sequence arrival is not guarnateed to be identical to departure, the recepient might have an issue if there is a transmission issue: e.g. nasdaq sends message1=new-quote#1-ibm-100@200.55; next message=quote1-size-reduction-50; next message=quote1-size-increase-70. if the 2nd and 3rd message get "twisted" while traveling on the wire, the recepient firm might have a temporary issue with data quality. or more permanent issue, in case one of the messages is lost (due to buffer overflow, etc.)


so, the data feeds implement message sequence numbers so that recipients can detect if there is message loss or delay - each next message has an increasing message sequence number, and the recipient keeps track of the next # they ought to expect, and wait for.


the reason you wanna wait for the messages in the proper sequence is because you do not know the ticker of the message, until you get it - so you do not know which of your internal stock quote books is incomplete.


since there are a lot of tickers and messages, each data feed in this multicast/udp format, is divided into "channels" based on ticker alphanumeric names. each channel is responsible to broadcast all messages for it range of tickers and number them accordingly. and their max range of seq # per channel is the 99M mentioned.


if one of the receipents detects a loss or a delay, they know the last in sequence # they have received, so they have the option of explicitely requesting a resend of the next/id that they are missing/is-delayed.


but this re-transmission request-response can not work, if the sequence number has been turned over from 99M back to 1, 2..


in reality, waiting for the request-response is too costly, since you would realy need to stop processing all messages, including the tickers not affected, so there is a practice in the industry to just keep going and not "look-back".


long story short, ppl def. rely on the seq number, most do not use its entire intended purpose, and i suspect that wrapping arround the numbers might be a bigger issue than not being able to request-response once that happens.

DCFusor's picture

Good writeup.  I've seen other hints I'm not the only guy here who knows more than a little about the machines.

FreakuentFlyer's picture


although i disagree with some of the technological "information" found here, i do share many ZH wide "conclusions", so let's both hope that the credit market insights are of greater accuracy than the articles on equities markets' architecture/infrastructure :))))

JohnG's picture

Also consider OOB transmissions.....!


yeah, I wrote a lot of SS7 protocols...

Ident 7777 economy's picture


OOB ="Out Of Band" in case anybody was wondering re: SS7 ...



Bob Paulson's picture

You mean Project Mayhem... and yes, destroy it.

US Uncut's picture

Please... someone translate?  

Number 156's picture

'We make money the old fashioned way; We churn it!'

Debtless's picture

LULZ. I peed a little after reading that. Thank you.

The Count's picture

And I spend money the old fashioned way, I burn it.

Id fight Gandhi's picture

What does this mean?

Ancona's picture

It means tehy need to go get a tube of JB right now.

dwdollar's picture

It's like a congested cell phone network after a natural disaster (unable to talk to family/friends).  It's a positive feedback loop to the panic.  The more people panic the more they try to call, which overloads the network more, which creates more panic...  so on and so forth...

Dr. No's picture

How dare you over dramatize the situation.  So the market breaks.  But to even suggest a cell phone network would go down so the sheeple cannot Facebook is very irresponsible.  This would cause sever panic to which we may never recover.

Spastica Rex's picture

Lack of optimism should be treason.

Dr. No's picture

Downgraded.  A couple of years ago, we needed hope.  Now, just optimism.

MolotovCockhead's picture

Is the message suppose to boost our confidence?

Mad Max's picture

It's a bit like the Y2K problem, except it's quotes and it's more like the Q 1x10^9 problem.

Put simply, there so much HFT bullshit going around it's exceeding the limits of daily quotes that the system had been designed for.

Id fight Gandhi's picture

So they're stuffing too many quotes into the system? Or is it actual trades?

What's the end result? Halt?

max2205's picture

No problem with my I Phone trading Apps. Weeee

phungus_mungus's picture

Churn-em and burn-em! 

Eagle Keeper's picture

What would the market volume look like if there were no HFTs?  

Iriestx's picture

Can you imagine, a market full of humans buying and selling?  How un-American.

The Man in Room Five's picture

Don't you mean "a market full of humans selling".

Dr. No's picture

LAtely the news has been showing traders on the floor in an effort to put a face on the crash.  I always wonder if they are just actors or if the cleaning crew wears ellaborate uniforms.   What are they doing there?

Saxxon's picture

What does it mean?

New_Meat's picture

Keep adding one to the number each time so each transaction has a unique number.  Pretty soon, all of the bits are set to one.  Add one more and get an overflow (TILT in pinball terms, NAN error) or get a wrap-around and now have two transactions with the same number.

That breaks the program and unusual things happen.  So they would have to break all subsequent (DK) trades.

- Ned

Nozza's picture

UQDF is the UTP Plan Quote Data Feed (UQDF) - providing continuous quotations from all market centers trading Nasdaq-listed securities. It is split into channels. Each channel can handle 99 million transactions per session, before having to be reset. It's usually reset before trading. But if reset is required during the trading day, then previous transactions could get, er, lost, so they dont let the rollover happen as such, but implement some other procedures so trading shouldn't be affected. Apparently.

UTP is Unlisted Trading Privileges. It allows BBO - besg bid and best offer quotes for participants, as well as consolidation of national best bid and best offer (across all market centres).

When you see NASDAQ numbers scrolling randomly under the screen on CNBC, Bloomberg or Fox (lol) the numbers have come from this. As the data is "live" you have to pay a licence to publish it within 15 minutes (I believe).

With HFTs - high frequency trades - running the markets using algos (algorithms - or math rules) on busy or interesting days (like today lol) the number of trades is VERY high - 99 million in the letters S to Z range.


Id fight Gandhi's picture

Wow, thanks for the explanation.

A Lunatic's picture

But do you really have to smile when you say it?

Saxxon's picture

Thanks for the explication. 

Jonathan Toews's picture

I think I get the gist of it, but can someone explain what this means in laymens terms, please?

NotApplicable's picture

Just what Milton says below (the Y 99,000 k). Basically they've run out of digits to number the quotes with.

Abitdodgie's picture

I think it means all the orders it has pending are/may be cancalled and you will have to resubmit your sell/buy orders

Westcoastliberal's picture

Reminds me of the Y2K good 'ol days!

Chief KnocAHoma's picture

Baxter you know I don't speak spanish!