Source: Pantor Engineering
Pantor Engineering has demonstrated a ten-fold performance improvement over earlier Fast Protocol implementations using benchmark data from the OPRA, the major feed for US equity options, and Nyse Arca market data feeds.
Pantor has benchmarked its second generation Fast (FIX Adapted for Streaming) Protocol implementation jointly with Intel and Red Hat using Intel Xeon quad-core processors and Red Hat Enterprise Linux.
The single-core, single feed channel benchmark using ARCA data resulted in a message rate of more than 10 million messages per second with an encoding latency of 50 nanoseconds per message and a bandwidth utilization of 0.8 gigabits per second in Fast 1.1 format. The corresponding test using OPRA data resulted in a rate of 5 million messages per second, an encoding latency of 100 nanoseconds and a bandwidth utilization of 0.7 gigabits per second.
Encoding of multiple feed channels using multiple processor cores showed close to linear scaling. All tests were executed using separate machines producing and consuming each tested feed and multiple gigabit links connecting the two machines.
"Our research has shown that Fast is well suited for very high speed and low latency communication. The basic design of Fast enables efficient use of modern multi-core processors" says Anders Furuhed, CTO of Pantor Engineering.
"A latency sensitive trading infrastructure must be able to handle intense bursts of data. The message rate during a fraction of a second may be several times higher than the message rate measured over a second. As has been shown by the recent benchmarks, our Fast framework processes several million messages per second which translates to thousands of messages per millisecond" says Rolf Andersson, CEO of Pantor Engineering.
"FPL is pleased that the development of the Fast protocol has delivered a significant advancement in terms of speed and bandwidth efficiency as further demonstrated by Pantor's benchmarks. FPL recognizes the industry-wide benefit of ultra-low latency message transfer combined with radical reduction in bandwidth utilization and will continue to work with contributors such as Pantor to showcase these attributes of Fast." comments Matt Simpson, Co-Chair of the FPL Global Technical Committee.
Rolf Andersson was one of the original architects of the Fast Protocol as well as the editor of the Fast 1.0 specification. David Rosenborg of Pantor is the current editor of the Fast specification as well as the main author of the Fast 1.1 specification.