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Being very fast within a single datacenter is not as valuable as having the fastest line between two datacenters. So being able to write a very fast program wouldn't be the holy grail of trading anyway (it would be to instantaneously transport information between e.g. NJ and Chicago using quantum entanglement or something.) That said, if you found an ...


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IEX is an ATS. The ECN/ATS business is dominated by rampant and well known conflicts of interest. A part of the IEX value proposition from the beginning was to offer an alternative to traders who were disenfranchised by this market structure. If maker-taker rebates are part of your trading business model or if you engage in any strategy that could be deemed ...


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We believe that the FIX parser (encoder/decoder) is the easiest part of a FIX engine to optimize. The bottleneck is usually the network I/O because you can't do any encoding/decoding before you receive/send the bytes from/to the network. Below are the CoralFIX numbers we measured using an Intel Xeon 2.0GHz machine: In terms of encoding (from FixMessage to ...


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For ultra-low-latency network applications it is mandatory to use a single-threaded, asynchronous, non-blocking network library. You can and should handle multiple TCP connections inside the same reactor thread which will be pinned to a dedicated and isolated cpu core. To give you an idea of TCP latencies you can take a look on our benchmarks using ...


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You probably want more than a low "TCP latency". Anyway, what latency is it? The TCP layer to connect to your 10Go (i.e. The implementation of the TCP protocol only)? The implementation of a protocol to read the market data (direct native feed? FIX?)? Or to "move" the content of the feed to a zone of memory shared with your application? And what about the ...


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Fix8 has some benchmark results on their website. They provide the code, so you can run your own benchmarks with your FIX engine against either Quickfix or Fix8.



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