Hot answers tagged latency
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 ...
If I understand correctly the TCP roundtrip time can be used as a posteriori proxi for the order entry gateway delay. So assuming the roundtrip time is composed of gate delay and independent other delays $RTT_g(t) = dT_g(t) + d_g(t)$ with assumed $Cov(dT_g,d_g)=0$ and $Cov(d_i,d_j)=0$. Minimizing the this combination of gate delay and other delays is ...
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 ...
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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