How many quote messages does a market maker send per day?

Question

A market-making desk quotes 500 symbols and refreshes each quote about 10 times per second during the 6.5-hour regular session. Solve in your head. Roughly how many quote messages does it send in one trading day? Aim: under 30 seconds.

Accepted Answer

Chain the factors. - Messages per second: 500 	ext{ symbols} 	imes 10 	ext{ updates} = 5{,}000 per second. - Seconds in the session: 6.5 	ext{ hours} 	imes 3600 = 23{,}400 seconds. - Per day: 5{,}000 	imes 23{,}400. Compute the last product cleanly: 5{,}000 	imes 23{,}400 = 23{,}400 	imes 5 	imes 1000 = 117{,}000 	imes 1000 = 117{,}000{,}000. \approx 1.2 	imes 10^8 	ext{ messages per day.} Takeaway. System-design estimates fall out of the same chaining as any Fermi problem: rate per second times seconds per session. Around 10^8 messages a day per desk is why exchanges and feeds ar…

How many quote messages does a market maker send per day?

Your answer

More Mental Math questions