New answers tagged latency
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 a 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.
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 ...
This strategy works very well in the equities markets but it's absolutely critical that you are able to add and cancel orders in under 10 microseconds: I've found that you usually get excellent results if you join the best bid and offer simultaneously, starting with a size of 47 and then very quickly canceling your order and increasing your size in a prime ...
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