CME FIX/FAST Market Data Adaptor

Common Test Environment

  • OS: Windows 7, x64
  • Compiler: MS Visual Studio 2008
  • Version: FIX Antenna C++ 2.5.1.0
  • Test execution date: Jan 14, 2011
  • CPU: AMD Phenom II X4 3.0 GHz
  • RAM: 8Gb
  • Hard drive: SAMSUNG HD103SI
  • NIC: Myri 10G-PCIE2-8B2-2S

Measurement scenario included: receiving UDP packets, decoding FAST message, converting FAST to FIX message and updating instrument data. Measurement was performed on the following data:

  • CME channel: #7 ("Futures")
  • Volume: 150Mb
  • Number of messages: 3,000,000
  • Number of MD Entries: 5,000,000 (both snapshots and updates)
  • Full real-life simulation: listen feeds, fill gaps, etc.

Test Results 

Sockets API Myricom DBL Latency Distribution
  • Min latency (µs): 35
  • Max latency (µs): 214
  • Average latency (µs): 38
  • Median (µs): 37
  • Number of messages: 1,000,000
  • Standard deviation(µs): 2.85
  • Values distribution:
    • [35 µs; 41 µs] : 94.40%
    • [35 µs; 44 µs] : 98.12%
    • [35 µs; 47 µs] : 98.76%
  • Min latency (µs): 4
  • Max latency (µs): 194
  • Average latency (µs): 10
  • Median (µs): 9
  • Number of messages: 1,000,000
  • Standard deviation(µs): 2.18
  • Values distribution:
    • [8 µs; 12 µs] : 95.57%
    • [6 µs; 14 µs] : 97.88%
    • [4 µs; 17 µs] : 99.28%
Latency Distribution (Transient Session)

View larger image

View the complete measurement results.