How Half a Second of High Frequency Stock Trading Looks Like by Andrew Vande Moere.
If you fancy your application as handling data at velocity with a capital V, you need to see the movie of half a second of stock trades.
The rate is slowed down so you can see the trades at millisecond intervals.
From the post:
In the movie, one can observe how High Frequency Traders (HFT) jam thousands of quotes at the millisecond level, and how every exchange must process every quote from the others for proper trade through price protection. This complex web of technology must run flawlessly every millisecond of the trading day, or arbitrage (HFT profit) opportunities will appear. However, it is easy for HFTs to cause delays in one or more of the connections between each exchange. Yet if any of the connections are not running perfectly, High Frequency Traders tend to profit from the price discrepancies that result.
See Andrew’s post for the movie and more details.