[Quickfixj-users] Latency to respond to messages?

[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'm new to QuickFix, so my first test was to write a QFJ application that
just logs into the exchange with my credentials and lets QFJ handle the
heartbeat messages.  Once heartbeats are established, I used WireShark to
capture the network traffic so I could see how long it takes to respond to a
heartbeat from the exchange.  The network capture data shows that QFJ's best
time to respond to a heartbeat is about 1.5 ms, and some of the times are
much higher (seconds).  

 

I need to respond to all messages in sub-millisecond times, so I'm curious
how to improve these times.  I've done the following:

+ Log level is WARN, so nothing is being logged

+ Using the MemoryStore for messages

+ Using the SocketInitiator

 

Any suggestions on improving these times would be appreciated.  Or if QFJ is
not designed to handle these requirements, I'd be interested in knowing that
as well.

 

Thanks,

Ted