Real Network Micro Bursts in Turbulent Markets - Video Example
Market data feeds in financial markets are "odd beasts." They typically have very low average traffic profiles, but can spike around major market events, or even simply on market open. Peak traffic levels can be ten times the average traffic when relatively long periods of time - for example seconds, are considered. To fully understand the traffic profile of market data feeds its necessary to have very fine resolution on the time periods used to observe the traffic. Only by having this details understanding can network planers and architects within financial organizations correctly size their network. Millisecond time periods are recommended, but ideally we should look with even finer granularity. Ixia's TradeVision product is not only market feed aware, it can also look at very fine time intervals necessary for the monitoring of "micro-bursts". In fact it can measure micro bursts in real time down to 15 micro-seconds time interval.
As I write this blog its early May 2020. we are past the (hopefully) initial market turmoil caused by Covidd-19. The VIX volatility index is still much above its levels from early 2020.
Given the market turmoil its a good time to have a detailed look at micro-bursts within a major US market market data feed - Arcabook from ICE-NYSE. Let's now look in detail at a recording of realtime charts in TradeVision monitoring one multicast channel on Arcabook for Tuesday the 5th of May 2020.
As you can see from the initial graphs on the right hand side of the video, the average traffic when measured over a one second period is just 7.6 Mbps even at market open. Looking at the left hand graph you can see that the peak traffic when measured over 15 micro-seconds is around 650 Mbps - a whopping 85 times greater! The final graph shows the peak microbursts (this is the peak traffic in the peak 15 micr-seconds within every second) for all four channels that make up the production Arcabook feed. In this case, and on this day, you would have needed around 4 x 650 Mbps to handle the peak traffic - say 2.5 Gbps. If you had just looked at average rates over a second you would have been mislead into thinking 1Gbps was plenty.
This shows that when designing networks it is necessary to look at very fine times resolutions. Typical monitoring tools for monitoring traffic usually work using time resolutions of a second, or at very best 1mSec. Wireshark, for example, will only display down to 1mSec. TradeVision not only calculates the micro-bursts down to 15 uSec resolution, it does it in real time, with full alerting available for trading management system tools.