quickfix-developers

[Quickfix-developers] QF raw throughput measurements

[Caleb E. <cal...@gm...>]

I decided to do a small test of optimal QuickFIX throughput, just to
try and gauge the theoretical upper bound that one can expect to get
out of QF as an engine.

My test involved a modified version of the "executor" example C++
application which accepts both market and limit orders, and responds
to each NewOrderSingle with two ExecutionReports (ack and fill), and a
simple sender application which just reads orders from a flat file
(format should be lines like "B 100 XYZ" or "S 1000 IBM 25") and sends
them to the executor.

Both the executor and sender are configured to use the
MemoryStoreFactory for message persistence and I have eliminated all
output other than handling of exceptions and printing of admin msgs.

Here are my results, using an input file of 1972 orders with most of
the Russell 2000 components:

Hardware: 2 blades in an IBM BladeCenter, each w/two Xeon 3.2 GHz CPUs
Operating Sysrtem: RedHat AS3.0_U1
Compiler: GNU g++ 3.3.2 -O2 -g -DHAVE_FTIME
Network: 1 Gbit switched Ethernet (I think)

Sender and Executor on Different Blades:
Sent 1972 messages from 20040914-15:51:31.468 to 20040914-15:51:31.694
= 0.226s (8725.66 msgs/sec)
Rcvd 3944 messages from 20040914-15:51:31.469 to 20040914-15:51:32.575
= 1.106s (3566 msgs/sec)

Sender and Executor on Same Blade:
Sent 1972 messages from 20040914-15:54:14.736 to 20040914-15:54:14.924
= 0.188s (10489.4 msgs/sec)
Rcvd 3944 messages from 20040914-15:54:14.737 to 20040914-15:54:15.709
= 0.972s (4057.61 msgs/sec)

Attached is the source code for the sending application.

-- 
Caleb Epstein
cal...@gm...

[Quickfix-developers] Updated fixprotocol.org

[Richard <in...@ri...>]

Hi all,

I remembered some email from Oren about not having good machine readable 
format available for the FIX protocol definitions.

Just Thursday there was an event in Amsterdam for the Dutch professional 
investment community. Featured was a presentation from Kevin Houstoun, 
Consultant Citigroup, co-Chair Global Technical Committee, FIX Protocol Ltd.

He announced the updated website for www.fixprotocol.org, which to many, 
including myself, now is database driven and the protocol definitions 
are generated from a database (no not Access).

Which means that de specifications are now downloadable as word, XML, 
DTD, XSD, XSL and HTML. Kevin also told about being able to check any 
errors or loops by including fields twice are now easier found by use of 
some software programs that check the message formats.

Check the new website and the specifications repository. Check Kevin's 
presentation at 
http://www.fixprotocol.org/documents/835/FIX%20Repository.ppt

Just wanted to share this....

Richard

Re: [Quickfix-developers] Updated fixprotocol.org

[Joerg T. <Joe...@ma...>]

Hi Richard,

> I remembered some email from Oren about not having good machine readable 
> format available for the FIX protocol definitions.

The new repository looks like database tables dumped into XML. Not as
structured as the QuickFIX data dictionary.

> Just Thursday there was an event in Amsterdam for the Dutch professional 
> investment community. Featured was a presentation from Kevin Houstoun, 
> Consultant Citigroup, co-Chair Global Technical Committee, FIX Protocol 
> Ltd.
> 
> He announced the updated website for www.fixprotocol.org, which to many, 
> including myself, now is database driven and the protocol definitions 
> are generated from a database (no not Access).

The new website is online for a week now and is driven by Perl and
PostgreSQL running on a Redhat machine.

> Which means that de specifications are now downloadable as word, XML, 
> DTD, XSD, XSL and HTML. Kevin also told about being able to check any 
> errors or loops by including fields twice are now easier found by use of 
> some software programs that check the message formats.

Sounds good, but did you check the prices? $ 10.000 upwards... for an
"open" protocol!

Actually, QuickFIX data dictionary is free of charge and far better to
read (and to adapt to your needs) than the FPL stuff.

Oren even wrote a convertor from FPL repository to QuickFIX DD:

	http://quickfixengine.org/xml.html

> Just wanted to share this....

Thanks. If you have more to share, consider WikiFIX. Its has to grow :-)

	http://quickfixengine.org/wikifix/index.php?QuickFix

Cheers, Jörg

-- 
Joerg Thoennes
                                http://macd.com
Tel.: +49 (0)241 44597-24      Macdonald Associates GmbH
Fax : +49 (0)241 44597-10      Lothringer Str. 52, D-52070 Aachen