FIX Protocol releases market data streaming test results

Source: FIX Protocol

FIX Protocol Ltd. (FPL) is pleased to formally announce initial results from the Market Data Optimization Working Group Proof of Concept (POC) which is a focused effort designed to develop practical solutions for the efficient dissemination of market data.

The POC is a series of well-controlled tests executed on a new data compaction methodology developed by FPL's Market Data Optimization Working Group called FIX Adapted for STreaming also known as the Fast Protocol.

The results thus far indicate that the proposed encoding algorithm is fast enough to keep up with data rates well over 10 Mbit/second and in some cases over 50 Mbit/second. Testing activities demonstrated 78% to 89% peak compression rates when compared to the original size of the data source. CPU Utilization was measured at 3.4 microseconds per message (294,000 messages per second) or less. The sample data sets included in the initial phase of the POC are Archipelago Exchange's ArcaBook Feed, Options Price Reporting Authority (OPRA) Feed, Chicago Mercantile Exchange (CME) Globex Feed, and Nordic Exchange (NOREX) Feed.

Exchange Feed
Fast Protocol
Peak Compression Rate
Fast Protocol- Messages Per Second (mps)

714,000 mps

555,000 mps

294,000 mps

588,000 mps

The Fast Protocol leverages implicit tagging, field encoding and serialization in order to radically reduce message size and bandwidth utilization. The POC has demonstrated the ability to significantly improve communication efficiencies for several real-world exchange data feeds without incurring material trade-offs in processing and latency. The Fast Protocol is based on the concept of data familiarity which allows greater speed and efficiency than conventional compression utilities such as ZLIB and GZIP.

The POC activities are planned to continue through another phase that will cover FIX-based formats and additional data sets. The next phase will result in the final publication of a reference implementation of the Fast Protocol, a user reference guide, and supporting white papers covering best practices.

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