Proof of Concept Successful in Optimizing FIX Market Data Messages Using the FAST Protocol
FPL Program Office (FPO) / FIX Protocol Ltd. <>
19 Dec 2005 10:32AM ET
December 19, 2005 – FPL is pleased to formally announce test results from the Market Data Optimization Working Group Proof of Concept (POC), a focused effort designed to develop practical solutions for the efficient dissemination of market data. The POC represents a series of well-controlled tests executed using a new data compaction methodology developed by FPL’s Market Data Optimization Working Group called FIX Adapted for STreaming SM also known as the FAST Protocol SM. The focus of this current phase is to demonstrate the effectiveness of the FAST Protocol on FIX market data message formats.
The FAST Protocol SM 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 SM is based on the concept of data familiarity which allows greater speed and efficiency than conventional compression utilities such as ZLIB and GZIP.
The results thus far indicate that the encoding algorithm is fast enough to keep up with data rates well over 10 Mbit/second and in some cases over 75 Mbit/second before any processing latency is introduced. Testing activities demonstrated 81% to 94% peak compression rates with maximum processing speeds reaching 667,000 messages per second.
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 London Stock Exchange (LSE) Feed.
Executive Results Summary
Exchange Avg FIX Avg FIX FAST Avg FAST Peak FAST
Feed Message Message Compression Compression Messages
Size Size Rate Rate Per Second
(w/ FAST)
ARCA
ArcaBook 121.9 10.5 91.3% 94.1% 667,000
OPRA 177.0 20.8 88.2% 90.8% 434,000
CME
Globex 241.4 29.0 88.0% 88.9% 333,000
LSE* 157.7 54.4 65.5% 81.5% 149,000
*Native format tested
An overview of the FAST Protocol SM and a detailed report of the results can be found in the PUBLIC DOCUMENTS section at www.fixprotocol.org/fast.
This phase will result in the final publication of a reference implementation of the FAST Protocol SM, a user reference guide, and supporting white papers covering best practices.
Get Involved with FAST - 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 have expressed interest and participated in the FPL Market Data Optimization working group activities. The FAST Protocol SM 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.
Additional opportunities to learn about FAST Protocol SM will be announced as they are scheduled.
FPL would like to recognize the sponsors of POC including ArcaEx, Chicago Mercantile Exchange (CME), International Stock Exchange (ISE), London Stock Exchange (LSE), Singapore Exchange (SGX) and Microsoft. 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 assist in the development of the FAST Protocol SM and execution of the POC.
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 SM should be directed to:
Matt Simpson at +1 (312) 634-8354, Co-Chair, Global Technical Committee and Co-leader Market Data Optimization Working Group
Rich Shriver at +1 (212) 652-4492, Co-leader Market Data Optimization Working Group
General FIX related issues or questions should be directed to:
FPL Program Office at: +1 (212) 652 4469
About Pantor Engineering
Based in Stockholm, Pantor Engineering provides clients with advanced software products 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 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.
