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I have no experience in the financial industry, but HFT has always fascinated me as a potential source for very high rates of "events". Could you share your general insight about the sheer volume of data that commonly gets pushed through an HFT system? I'd also be terribly interested in a multi-megabyte/gigabyte "recording" of HFT trade data.

http://www.nyxdata.com/capacity

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This project is not HFT. It does not use a full book data feed. Really even the feeds that come from the exchanges are not precisely timestamped enough and HFT firms stamp their own . The data is not huge although trading system need to be able to deal with large spikes in the rate of events. Usually now people are using 10G/40G/Infinibad as a connect to the matching engine.

So, yes, on my toy wannabe hft feed, I'm currently clocking about 10 million ticks per day on about 8 futures tickers I'm tracking. The raw feed is between 1 and 1.5 gig per day. I can imagine the petabyteness of the bigger guys.

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