Low-Latency Messaging Middleware

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Pursuing Nanosecond Trading

The third report in a three part GreySpark series on low-latency technology looks at messaging middleware, in a vendor review that concludes that the pursuit of nanosecond trading speeds is well underway.

Seven vendors are comparatively analysed across functionality, performance, resilience, scalability and maintainability. Current trends in the low-latency messaging middleware space are explored. They orient on the expansion of available network protocols, the growing use of hardware appliances, emerging industry message standards and unified messaging on a single platform.

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The scope of this report is low-latency messaging middleware for the tick-to-trade, auto-hedging, trading algorithms, DMA, matching engine and execution venue use cases. As financial markets embrace electronic trading, speed becomes a significant consideration for trading.

Latency is a core consideration for proprietary traders and market makers across asset classes, particularly among trading desks concerned with best execution, high-frequency trading (HFT) and the exploration of each market opportunity.

Nanosecond trading is increasingly attainable as vendor solutions continuously improve, adapting new technologies. We undertake a comparative analysis of seven vendors with mature product offerings. Five offer IPC and one achieves latency in the nanosecond (ns) range under laboratory conditions. Latencies in the one to 10 microseconds (µs) range are achieved using InfiniBand with remote direct memory access (RDMA) and by providing some level of reliable messaging. The 10 µs to 30 µs latency range is achieved with a 10-gigabit Ethernet using TCP with the middleware providing the reliability.

The report gives a list of key considerations when choosing messaging middleware. These considerations relate to business, performance, technical and financial requirements. This extensive requirements gathering exercise is conducted to understand the current and future demands of the system and to allow for effective long term planning.

Published on: 23 Apr, 2013

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Low-Latency Messaging Middleware – Table of Contents

  • 1.0 The Need for Low Latency Middleware
    • 1.1. Low Latency by Asset Class
  • 2.0 Varieties of Messaging Middleware
    • 2.1 Network Protocols
    • 2.2 Reliable and Guaranteed Messaging
    • 2.3 Use Cases
  • 3.0 Trends in Low-Latency Messaging Middleware
    • 3.1 Network Protocols
    • 3.2 Hardware
    • 3.3 Message Standards
    • 3.4 Unified Messaging
  • 4.0 Vendor Solutions
    • 4.1 Latency and Throughput
    • 4.2 Evaluation Methodology
    • 4.3 Comparative Analysis
  • 5.0 Key Considerations when Choosing Messaging Middleware
  • 6.0 Appendices
    • 6.1 Vendor Functionality Scorings
    • 6.2 Methodology
    • 6.3 Glossary of Terms
    • 6.4 Table of Figures