March 19, 2020 | Blog
Market data volumes: Why software doesn’t cut it anymore
UPDATED: March 26th, 2020
Since posting this article, we continued analyzing how our solution performed on other market data protocols. In spirit of transparency, we’ve published our most recent latency report for our nxFeed CME Globex MDP3 solution with data from February 28th, 2020 replayed at 1x, 2x, 3x and 4x the original rate.
You can read the full report on the Enyx website.
The financial markets have seen tremendous volatility and record high rates of market data due to the recent health crisis and I believe that now more than ever, we need to stress how important transparency and quality assurance is during these uncertain times.
At Enyx, to demonstrate our commitment to transparency and quality, we run the majority of our latency tests in our lab at several times the typical market rate, but since real life, in-production conditions are this extreme and exceptionally rare — we took this opportunity to showcase the performance of our solutions in these conditions.
We’ve just released a new latency report on our website showcasing the performance of our Nasdaq Totalview nxFeed solution on Friday, February 28th 2020 where the daily data volume was 3x higher than a “usual” trading day.
FPGA technology is specifically designed to handle this volume of data, while being both deterministic and maintaining high performance.
Here is an extract of the Nasdaq Totalview performance report:
What we can see from the graph above is that despite the very high volume nxFeed end to end latency remains under 6µs (max latency shown by orange line) from raw packet ingress to normalized packet egress. The peak packet rate was more than 320 000 pkt/sec with a 1sec resolution and 3 798 000 pkt/sec with a 1ms resolution – significantly higher than a ‘typical’ trading day.
Overall the average (mean) latency is 1.04µs with 99.99th percentile is at 1.97µs – this should allow users of nxFeed to have confidence that the solution can operate reliably and with a consistent latency profile during times of high market volumes.
We will continue to perform and publish new latency reports for our products with relevant data from the last few weeks so stay tuned.
Feel free to reach out if you have any questions, we would be happy to help.
In the meantime stay safe and I hope that the situation will get back to normal sooner rather than later.