Imported from previous forum
A pdf version of the below release can be found at the following link: http://www.fixprotocol.org/documents/1785/Initial%20Proof%20of%20Concept%20Successful%20in%20Optimizing%20FIX%20for%20Streaming%20Market%20Data.pdf.
Initial Proof of Concept Successful in Optimizing FIX for Streaming Market Data
September 6, 2005 – 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. An overview of the results follows below:
Exchange Feed: ArcaEx/ArcaBook
Fast Protocol – Peak Compression Rate: 79%
Fast Protocol – Messages Per Second (mps): 714,000 mps
Exchange Feed: OPRA
Fast Protocol – Peak Compression Rate: 78%
Fast Protocol – Messages Per Second (mps): 555,000 mps
Exchange Feed: CME Globex
Fast Protocol – Peak Compression Rate: 81%
Fast Protocol – Messages Per Second (mps): 294,000 mps
Exchange Feed: NOREX
Fast Protocol – Peak Compression Rate: 89%
Fast Protocol – Messages Per Second (mps): 588,000 mps
For a complete report on the results of the POC, please visit http://www.fixprotocol.org/documents/1780/POC%20Results_Phase1A.pdf.
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.
Get Involved with the FAST Protocol - With the increased use of direct feeds coupled with sheer growth in electronic trading volumes and the resultant market data message rates, several market centers and market participants have expressed interest and participated in the FPL Market Data Optimization Working Group activities. The Fast Protocol provides a significant opportunity for the financial community as a whole to improve the effectiveness of the technology infrastructure. Through efforts such as this, FPL continues to provide innovation and leadership to the financial technology community.
Attendees of the November 1 - 2 FPL Electronic Trading Conference in New York will have the opportunity to see a demonstration of the Fast Protocol. Additional opportunities to learn about Fast Protocol will be announced as they are scheduled.
FPL would like to recognize the sponsors of POC including ArcaEx, CME, London Stock Exchange (LSE), Microsoft and Singapore Exchange (SGX). In addition, FPL would like to recognize the contributions and support of Pantor Engineering and SpryWare. Both Pantor and SpryWare were retained by FPL to develop the Fast Protocol and for execution of the POC.
Sponsorship opportunities remain available for Phase 2 of the POC and FPL members interested in exploring potential inclusion should contact either Matt Simpson or Rich Shriver (details below).
About FIX Protocol Ltd.
FIX Protocol Ltd. is a non-profit organisation that owns the intellectual property rights of the Financial Information eXchange (FIX) Protocol, which is provided free in the public domain. FIX is a globally recognized messaging standard enabling the electronic communication of pre-trade and trade messages between financial institutions, primarily investment managers, broker/dealers, ECNs and stock exchanges. For more information, see www.fixprotocol.org.
Contact
Questions on the FPL Market Data Optimization Working Group POC or the FAST Protocol should be directed to:
Matt Simpson at +1 (312) 634-8354, Co-Chair, Global Technical Committee and Co-leader Market Data Optimization Working Group or
Rich Shriver at +1 (212) 652-4492, Co-leader Market Data Optimization Working Group
General FIX related issues or questions should be directed to:
Ms. Courtney Doyle of the FPL Program Office at: +1 (212) 652 4469
Mr. Peter Randall, FPL Executive Director at +44 [0] 778 654 3388
About Pantor Engineering
Based in Stockholm, Pantor Engineering provides clients with advanced software products and services for building and monitoring transaction systems. Pantor’s Transaction Framework is used for building highly reliable, high performance transaction systems and Service Analyzer is used for monitoring mission critical transaction systems. Pantor is an active participant and contributor to FPL.
For more information about Pantor Engineering, please contact Rolf Andersson at +46 709 299 100, or visit www.pantor.com.
About SpryWare
Headquartered in Chicago’s financial district, SpryWare offers the latest in ultra low-latency, direct market access (DMA) technology. By using expert engineering and innovative technology, SpryWare is able to process and distribute direct market data with latency of less than one-half a millisecond. SpryWare is an active participant and contributor to FPL and FISD.
For more information about SpryWare, please contact Daniel May or Mike Kreutzjans at (312) 922-SPRY (7779), or visit www.spryware.com.
A pdf version of the above release can be found at the following link: http://www.fixprotocol.org/documents/1785/Initial%20Proof%20of%20Concept%20Successful%20in%20Optimizing%20FIX%20for%20Streaming%20Market%20Data.pdf.