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1 August 2012

B2BITS FIX Antenna® C++ demonstrates unparalleled 6 microseconds latency on tick to trade tests

Newtown, PA - August 1st, 2012 - B2BITS, EPAM Systems' Capital Markets Competency Center continues efforts to optimize latency of FIX protocol communication functions on the high performance solution stack created by the consortium of leading IT vendors.

The consortium - led by OnX Enterprise Solutions made the reference hardware and software stack available for continuous testing. Tests were conducted in cooperation with Intel's fasterLAB in the UK.

Using the platform based on Intel® Xeon® processor X5698 (dual-core), clocked at 4.4 GHz with Solarflare SFN5122-F 10G NIC OpenOnload kernel bypass, Red Hat Enterprise Linux (RHEL 6.0) and FIX Antenna® C++ v2.11 we demonstrated solid 6 microseconds latency across multiple tests in 99% observations with minimum latency 4.8 microseconds. The accurate time measurement was supported by Endace™ network monitor card. The observed 6 microsecond latency was measured as the time span between two correlated events on the wire: an inbound FIX market data message packet and the resulting outbound FIX order message packet.

The results reported in February 2012 were improved by 40%. The improvements were achieved by tuning the interface of FIX engine to Solarflare™ NIC and enhancing critical parts of the FIX Antenna C++ 2.11 code. Special efforts were made to minimize the interruptions caused by non-real time operating system on multi core CPU architecture.  

Compared with open source QuickFIX/C the FIX Antenna® C++ demonstrated a 45 times better 99th percentile latency with the actual result of 6.1 microseconds as opposed to 275.0 microseconds, and MEAN latency value of 5.7 microseconds as opposed to 56 microseconds.

 

 Latency graph

View larger image

 

The graph above shows the latency of the workload completion over a 60 microsecond range, comparing open source against the B2BITS FIX Antenna® C++ engine.

The performance demonstrated by FIX Antenna® C++ should satisfy most of the DMA and HFT clients operating this or similar hardware and OS stack.  

Full report of test scenarios and results of FIX Antenna® C++ testing you can find here or contact B2BITS at sales@b2bits.com

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