[Quickfix-users] Performance tests for various QuickFix flavors (with numbers)

[Ted G. <tg...@Co...>]

I'm building an arbitrage system, so responding to FIX messages quickly is
essential.  I don't need to process hundreds of messages a second, but I
need to respond to the messages that arrive very quickly.  

 

I wrote a simple Initiator client that just logs in.  Once Logon is
complete, I change the client's heartbeat interval to be very long, so the
client quits sending HeartBeats.  Therefore the server will send a
TestRequest every few seconds, and QuickFix will respond with a heartbeat.  

 

I'm interested in the turnaround time to do that message processing.  I used
Wireshark to capture the network traffic so I could see how long it takes
the client to respond.  

 

To make the times as fast as possible,  I've done the following:

+ The Log level is WARN, so nothing is being logged 

+ Using the MemoryStore for messages 

+ UseDataDictionary, ValidateFieldsHaveValues, CheckCompID and CheckLatency
are all turned off 

+ SocketTcpNoDelay is turned on

 

I did this for QuickFix, QuickFix/JNI, QuickFix from C# and QuickFix/J.  I
was pleased with how easy it was to get this test running using the various
flavors of QuickFix.  The average time to respond in MICROseconds is as
follows:

QuickFix: 235

QuickFix/JNI: 550

QuickFix/C#: 483

QuickFix/J: 501

 

I don't think the JVI vs .NET vs QuickFixJ differences are significant, but
the C++ times are significantly faster than anything else.  For the two Java
apps, I spent some time tuning the JVM's params; I also tried the JRockit
JVM.

 

My question for the group: Is there an architectural reason why QuickFix
outperforms QuickFix/J?  Or is this a case of C++ being faster than Java in
this problem domain (network programming and byte manipulation)?

 

Thanks,

Ted