Latency depends on multiple factors:

  • Hardware setup (CPU arch, CPU speed, cache size, memory speed)
  • OS setup (compiler/runtime version, Thread binding, CPU isolation)
  • Average packet size
  • Average message rate
  • Number of instruments

Used Test Environment:

  • Intel Core i7-3770K @ 3.5GHz
  • Linux CentOS 6.0, 64-bit, GCC 4.4.7
  • Production data (channel 318, 319)
  • Market data update and update end events latency measured, from socket to Message API / OrderBook API callback calls
  • All instruments subscribed
  • B feeds disabled (as if co-location)

Test Results 

Equity Futures, Channel 318, 173 Instruments, Avg packet size 80 bytes 

  Minimum, μs Average, μs Median (50%), μs 90%, μs 99%, μs Distribution
Message API 0.12 0.27 0.23 0.26 2.01 MDP30_318
Order Book API 0.16 0.40 0.34 0.55 2.42

Equity Options, Channel 319, 26904 Instruments, Avg packet size 310 bytes 

  Minimum, μs Average, μs Median (50%), μs 90%, μs 99%, μs Distribution
Message API 0.13 1.48 0.94 3.29 7.27 MDP30_319
Order Book API 0.15 2.40 1.53 5.63 10.66