FAST is a protocol for encoding and decoding market data. Many exchanges have started to adopt it. Trading companies must decode, filter and analyze mountains of messages before making trades. FAST was developed by FPL or FIX Protocol Ltd., a financial standards setting organization, to help deal with the growing volume of messages on already crowded networks. Companies can only trade at the speed at which they can process this market data. (Or trade blind!) FAST decoding is the first step to getting data to the right place to make trading decisions. OCI developed an open source FAST encoding/decoding product called QuickFAST, for both C++ and C# software systems in order to help clients jump start their transition.
Speed is of the essence. OCI benchmarked its software on SGI Xeon 3GHz systems using representative data from both Arca and CME exchanges. Arca messages were processed at the rate of 650 nanoseconds per message and CME at the rate of 2.7 microseconds. Other QuickFAST users reported 620 nanoseconds decoding latency on their systems, using as an example, Xetra market data. Users indicated satisfaction at the performance which easily exceeded their existing systems. As users seek more speed, open source software is one way to tune and extend systems, without imposing large development loads on the SW engineering team.
To illustrate this OCI also fed the decoded and normalized market data into its real time open source data distribution service called OpenDDS. The data was sent via its publish and subscribe service in around 40 to 100 microseconds, depending on the exchange message types and network topolgy. Combining open source FAST with open source DDS software will enable users to get most of their feed handler systems ready for large scale FAST adoption, in a short period of time.
Dr Moshiri the CEO of OCI commented that, "we have demonstrated, using realistic feeds, that a combination of open source and rack based commodity hardware systems offer both cost, and performance-
