# Tag Info

6

That will depend on the protocol you are using for market data (UDP, FAST, MDP, ITCH, etc.) and order routing (FIX, OUCH, etc.). For example, the latency to parse a UDP tick and to place a FIX order was around 8 micros as measured by tcpdump, using CoralFIX and CoralReactor. Disclaimer: I'm one of the developers of CoralFIX

6

The round-trip latency from point A to a matching engine at point B can be thought of being comprised of two components: $RTT_{total,A \rightarrow B} = RTT_{network\_transit,A \rightarrow B} + MPL_{matching\_engine,B}$ Where $RTT$ is the round-trip time and $MPL$ is the message processing latency (how long it takes to receive a message and produce an event)...

4

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 ...

3

If you don't have strict low latency requirements and don't care if the provider is conflating tick data, then I would recommend using a broker's market data feed. Many electronic brokers offer access to connect to streaming market data alongside their other services. This will be the cheapest option in terms of cost, and will also likely be the easiest to ...

3

It is pretty easy to get down to 50us tick-to-trade measured from start of MD packet on wire at switch to start of trade order at the switch, at the 99th percentile. 10us takes user-space networking, lock-free coding, isolated and pinned cores, profiling and kernel tweaking. (So, still not terribly hard). 5us (99th percentile) takes cache optimization and ...

3

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 ...

3

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 ...

2

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 ...

2

It is normal. The finance industry is seeing a lot of incompetence. You can NOT realy on the sending party having a highly accurate timestamp - I have seen discrepancies up to more than a second during normal operation. Things hopefully get better once Windows 2016 is widespread as this naturally out of the box synchronized to 1ms accuracy. But at the moment....

2

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 ...

1

Cheap, accurate, fast: choose two. IQFeed is the cheapest broker-neutral feed that I know of for this and they have reasonable accuracy. Otherwise, brokers often package in a data feed for free. QuantHouse's feed etc. are about 2 orders of magnitude more expensive.

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It is possible that they are getting "news", but what I feel these firms are doing is connecting to EMSX offered by Bloomberg which is an electronic trading platform. Which is why they would probably invest in sending microwave shots of data back to NJ. The data is : which broker offers which security at what rate. Earlier access to data implies that they ...

1

I do not understant your question. In terms of latency, you have your distance to the exchange the network latency the tcp/ip layer your operation system the speed of your code If you just talk about the last step (do not forget you have to count the other steps twice) and you want to go as fast as possible, just write in assembly. In most assembly manuals ...

1

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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To make it properly you should have: historical data streams per instrument and backtest engine is synchronizing those into one GlobalMarket object (instant quote representation after each tick). Synchronization happens by reading timestamp of each tick and then pushing it into GlobalMarket If you have this setup, then latency can be added as a shift to ...

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I would say the average latency for most data providers ( level 1 CTA feed ) is between 100ms-450ms. This also varies when there are spikes in trade volume, eg: Market Open/Close.

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Exchanges provides the following six timestamps: Gateway In Timestamp-T1. Time at which the order was received by the Gateway from the members TCP connection. Gateway Out Timestamp-T2. This is the time when the order was dispatched by the Gateway to the Matching engine. Matcher In Timestamp-T3. This is the time the order was received by the Matching engine. ...

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