Re: [Quickfix-developers] Quickfix/J - Production Use Report

[Alvin W. <AW...@FF...>]

Hi Barry,

Have you got chance to compare the performance of Quickfix/J with that of 
Quickfix Java/JNI on your application?

thanks
Alvin






Barry Kaplan <bk...@bl...>
Sent by: qui...@li...
07/21/2005 01:48 PM

 
        To:     quickfix <qui...@li...>
        cc: 
        bcc: 
        Subject:        [Quickfix-developers] Quickfix/J - Production Use Report


QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
QuickFIX FAQ: http://www.quickfixengine.org/wikifix/index.php?QuickFixFAQ
QuickFIX Support: http://www.quickfixengine.org/services.html

It was mentioned in the beta release announcment that I was using QFJ in a 
production trading application. I will here describe that application and 
our experiences with QFJ.

The application is a blackbox system, running an arbitrage strategy. The 
strategy will place limit orders on any number of instruments. There will 
always be an order at the market, but there are often orders a few price 
tiers down as well. Both long and short orders are placed for an 
instrument. Opening orders are placed on one exchange, closing orders on 
another. The system is designed to run against hundreds of instruments 
concurrently, but so far our we have not exceeded six.

The opening orders are entered at some criteria and cancled at another 
criteria. In a typical trading dary, for a single instrument we will place 
and cancel several thousand orders, get ten to fifty fills with a 
corresponding number of closing orders and their fills. When the market is 
moving, we have seen the placing and canceling of orders peak at 10/sec. 
The CPU on the 1.8GHz Intel Suse box remaining less than 20% during these 
peaks.

While we have not yet done any detailed performance measurements (ie, 
YourKIT/JProfiler style), we track the time it takes for us to process 
market events and send/cancel order and the time it takes to send a 
closing order on receipt of a fill. For the case when we receive a fill 
and place the closing order, the time in our system averages 10 
millseconds. This time includes:
- processing of the fix message by quickfix
- internally dispatching the message via jms (using ActiveMQ)
- pushing the message thru a rete rule base (using Drools)
- sending the closing order via quickfix

In some quickfix specific load testing we performed (and this was before 
some of Steve's performance improvements), we were able to push 10k 
msgs/sec from on instance of QFJ ot another on the same box. So my guess 
is that QFJ contribution to that 10ms time is very small.

So far, in all our production runs we have not had a single QFJ problem. 
The system has worked perfectly. I will point out however, that we are 
using very basic FIX capabilties. Standard 4.2, only new-orders, 
execution-report, and cancel-order. Also we are using the MemoryStore 
because we always close all positions prior to shutting down. But we will 
in any case change to the SleepyCatStore soon. 

So should you be considering the move to QFJ, I would not hestitate to 
begin testing. And as Steve mentioned there are some other goodies on the 
way. In addition to the JMX support, I have been working on complete 
Spring integration (the application above is Spring based), the conversion 
of the Netty socket layer to the Mina, and a JMS transport protocol. More 
to come on this in future betas.

If anybody has further questions about our use of QFJ, or the new 
features, feel free to email me, or better, post here on the list!

---
Barry Kaplan
bk...@bl...



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